| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12767 |
| DP12767 Common Factors of Commodity Prices | |
| Domenico Giannone; Laurent Ferrara | |
| 发表日期 | 2018-03-02 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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 uctuations in commodity prices is well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining variations in commodity prices has increased since the beginning of the 2000s, especially for oil. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp12767 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541576 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Laurent Ferrara. DP12767 Common Factors of Commodity Prices. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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