Commodity-price comovement and global economic activity

• 成果类型: Article
• 署名作者: Alquist, Ron; Bhattarai, Saroj; Coibion, Olivier
• 署名单位: University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.02.004
• 发表日期: 2020
• 页码: 41-56
• 关键词: commodity prices; factor models; business cycles

摘要

Guided by a macroeconomic model with endogenous commodity prices, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations. (C) 2019 Elsevier B.V. All rights reserved.