Primary commodity prices: Co-movements, common factors and fundamentals

• 成果类型: Article
• 署名作者: Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert
• 署名单位: University of Glasgow; University of Palermo; The World Bank
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2012.09.002
• 发表日期: 2013
• 页码: 16-26
• 关键词: commodity prices; Panel estimation; factor models

摘要

The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, we document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on the co-movement of commodity prices. (C) 2012 Elsevier B.V. All rights reserved.