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A factor model for co-movements of commodity prices

Citations

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Cited by:

  1. Günes Kamber & Gabriela Nodari & Benjamin Wong, 2016. "The Impact of Commodity Price Movements on the New Zealand Economy," Reserve Bank of New Zealand Analytical Notes series AN2016/05, Reserve Bank of New Zealand.
  2. Baumeister, Christiane & Guérin, Pierre, 2021. "A comparison of monthly global indicators for forecasting growth," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1276-1295.
  3. Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
  4. Kim, Hyeongwoo & Zhang, Yunxiao, 2020. "Investigating properties of commodity price responses to real and nominal shocks," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  5. Arabinda Basistha & Richard Startz, 2024. "Measuring persistent global economic factors with output, commodity price, and commodity currency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2860-2885, November.
  6. Kagraoka, Yusho, 2016. "Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model," Economic Modelling, Elsevier, vol. 52(PB), pages 609-617.
  7. Matsumoto, Akito & Pescatori, Andrea & Wang, Xueliang, 2023. "Commodity prices and global economic activity," Japan and the World Economy, Elsevier, vol. 66(C).
  8. Kim, Hyeongwoo & Son, Jisoo, 2024. "What charge-off rates are predictable by macroeconomic latent factors?," Journal of Financial Stability, Elsevier, vol. 74(C).
  9. Hyunju Kang & Bok-Keun Yu & Jongmin Yu, 2016. "Global Liquidity and Commodity Prices," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 20-36, February.
  10. Pincheira, Pablo & Hardy, Nicolás, 2021. "Forecasting aluminum prices with commodity currencies," Resources Policy, Elsevier, vol. 73(C).
  11. Amber Wadsworth & Adam Richardson, 2017. "A factor model of commodity price co-movements: An application to New Zealand export prices," Reserve Bank of New Zealand Analytical Notes series AN2017/06, Reserve Bank of New Zealand.
  12. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
  13. Chen, Peng, 2015. "Global oil prices, macroeconomic fundamentals and China's commodity sector comovements," Energy Policy, Elsevier, vol. 87(C), pages 284-294.
  14. Arabinda Basistha, "undated". "Estimates of Quarterly and Monthly Episodes of Global Recessions: Evidence from Markov-switching Dynamic Factor Models," Working Papers 24-07, Department of Economics, West Virginia University.
  15. Amelie Schischke & Andreas Rathgeber, 2025. "Time-varying spillover effects within and between industrial metal markets," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(4), pages 911-939, December.
  16. Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022. "Energy Markets and Global Economic Conditions," The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
  17. Liu, Zhenya & Teka, Hanen & You, Rongyu, 2023. "Conditional autoencoder pricing model for energy commodities," Resources Policy, Elsevier, vol. 86(PA).
  18. Gerlach, Stefan & Stuart, Rebecca, 2024. "Commodity prices and international Inflation, 1851–1913," Journal of International Money and Finance, Elsevier, vol. 144(C).
  19. Schischke, Amelie & Rathgebe, Andreas, 2023. "Formation of Industrial Metal Markets: Fundamental Theory, Co-movement and Time-varying Dependencies," 2023 Conference, April 24-25, 2023, St. Louis, Missouri 379018, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  20. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2021. "Common factors and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 74(C).
  21. Alquist, Ron & Bhattarai, Saroj & Coibion, Olivier, 2020. "Commodity-price comovement and global economic activity," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 41-56.
  22. Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
  23. Zhou, Liyun & Huang, Jialiang, 2020. "Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  24. Beverly, Josh & Stewart, Shamar L. & Neill, Clinton L., 2024. "What drives labor force participation rate variability? The case of West Virginia," Economic Modelling, Elsevier, vol. 140(C).
  25. Benmoussa, Amor Aniss & Ellwanger, Reinhard & Snudden, Stephen, 2026. "Carpe diem: Can daily oil prices improve model-based forecasts of the real price of crude oil?," International Journal of Forecasting, Elsevier, vol. 42(1), pages 281-295.
  26. Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
  27. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
  28. Yin, Libo & Han, Liyan, 2015. "Co-movements in commodity prices: Global, sectoral and commodity-specific factors," Economics Letters, Elsevier, vol. 126(C), pages 96-100.
  29. Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
  30. Ahmed, Rashad, 2023. "Global commodity prices and macroeconomic fluctuations in a low interest rate environment," Energy Economics, Elsevier, vol. 127(PB).
  31. Qian, Chenqi & Zhang, Tianding & Li, Jie, 2023. "The impact of international commodity price shocks on macroeconomic fundamentals: Evidence from the US and China," Resources Policy, Elsevier, vol. 85(PB).
  32. Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
  33. Zhang, Tianding & Du, Tianwen & Li, Jie, 2020. "The impact of China's macroeconomic determinants on commodity prices," Finance Research Letters, Elsevier, vol. 36(C).
  34. Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
  35. Pincheira, Pablo & Hardy, Nicolas, 2018. "The predictive relationship between exchange rate expectations and base metal prices," MPRA Paper 89423, University Library of Munich, Germany.
  36. Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
  37. Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
  38. Josh Beverly & Shamar L. Stewart & Clinton L. Neill, 2023. "The dynamics of labor force participation: Is all quiet on the Appalachian front?," Empirical Economics, Springer, vol. 65(6), pages 2867-2898, December.
  39. Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022. "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, vol. 106(C).
  40. Pilar Poncela & Eva Senra & Lya Paola Sierra, 2020. "Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes," Open Economies Review, Springer, vol. 31(4), pages 859-879, September.
  41. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
  42. Rausser, Gordon & Stuermer, Martin, 2020. "A Dynamic Analysis of Collusive Action: The Case of the World Copper Market, 1882-2016," MPRA Paper 104708, University Library of Munich, Germany.
  43. Basistha, Arabinda, 2025. "A Markov-switching dynamic factor framework for dating global economic cycles," Journal of International Money and Finance, Elsevier, vol. 157(C).
  44. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
  45. Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022. "Common factors of commodity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
  46. Anuradha Patnaik, 2018. "Price co-movements, commonalities and responsiveness to monetary policy: empirical analysis under Indian conditions," Asia-Pacific Sustainable Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 25(2), pages 77-97, December.
  47. Esther Ruiz & Pilar Poncela, 2022. "Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components," Foundations and Trends(R) in Econometrics, now publishers, vol. 12(2), pages 121-231, November.
  48. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, vol. 3(2), pages 1-13, June.
  49. Zhang, Dayong & Broadstock, David C., 2020. "Global financial crisis and rising connectedness in the international commodity markets," International Review of Financial Analysis, Elsevier, vol. 68(C).
  50. Joseph P Byrne & Ryuta Sakemoto & Bing Xu, 2020. "Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals [Oil price shocks and the stock market: evidence from Japan]," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(2), pages 499-528.
  51. Byrne, Joseph P. & Sakemoto, Ryuta, 2025. "Commodity correlation risk," Journal of Commodity Markets, Elsevier, vol. 38(C).
  52. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).
  53. Reinhard Ellwanger, Stephen Snudden, Lenin Arango-Castillo, 2023. "Seize the Last Day: Period-End-Point Sampling for Forecasts of Temporally Aggregated Data," LCERPA Working Papers bm0142, Laurier Centre for Economic Research and Policy Analysis.
  54. Amelie Schischke & Patric Papenfuß & Andreas Rathgeber, 2024. "The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading," Empirical Economics, Springer, vol. 66(2), pages 883-925, February.
  55. Mat Rahim, Siti Rohaya, 2014. "Asymmetric Cointegration: Barley and Crude Oil Price in United States," MPRA Paper 58447, University Library of Munich, Germany.
  56. Xia, Tian & Zhou, Hang, 2023. "Commodity terms of trade co-movement: Global and regional factors," Journal of International Money and Finance, Elsevier, vol. 139(C).
  57. Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
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