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Common factors of commodity prices

Author

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  • Delle Chiaie, Simona
  • Ferrara, Laurent
  • Giannone, Domenico

Abstract

There is a strong co-movement in the prices of international commodities. This is explained by a single common factor that is closely related to fluctuations in global economic activity. The common factor, which is indicative of global demand pressures, explains a large share of commodity price fluctuations, and its importance has increased since the early 2000s, especially for oil and metal prices. JEL Classification: C51, C53, Q02

Suggested Citation

  • Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
  • Handle: RePEc:ecb:ecbrbu:2018:0051:
    Note: 753337
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    More about this item

    Keywords

    co-movement; commodity prices; global demand;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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