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Common factors of commodity prices
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| Personen und Körperschaften: | , , |
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| Titel: | Common factors of commodity prices/ Simona Delle Chiaie, Laurent Ferrara, Domenico Giannone |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2017]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2112 (November 2017)
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| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the fluctuations in commodity prices is well summarised by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining commodity price variations has increased since the 2000s, especially for oil prices. |
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| Umfang: | 1 Online-Ressource (circa 43 Seiten); Illustrationen |
| ISBN: |
9789289930260
9289930268 |
| DOI: | 10.2866/116302 |