Primary commodity prices: Co-movements, common factors and fundamentals
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, the authors document a statistically significant degree of co-movement du...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
The World Bank
2011
|
| Online Access: | Volltext |
| Summary: | 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, the authors 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 co-movement of commodity prices |
| Physical Description: | 1 Online-Ressource (35 p) |
| DOI: | 10.1596/1813-9450-5578 |
Staff View
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Record in the Search Index
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| illustrated | Not Illustrated |
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| indexdate | 2025-02-20T07:18:59Z |
| institution | BVB |
| language | English |
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| physical | 1 Online-Ressource (35 p) |
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| publishDate | 2011 |
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| publisher | The World Bank |
| record_format | marc |
| spellingShingle | Byrne, Joseph P. Primary commodity prices Co-movements, common factors and fundamentals |
| title | Primary commodity prices Co-movements, common factors and fundamentals |
| title_auth | Primary commodity prices Co-movements, common factors and fundamentals |
| title_exact_search | Primary commodity prices Co-movements, common factors and fundamentals |
| title_exact_search_txtP | Primary commodity prices Co-movements, common factors and fundamentals |
| title_full | Primary commodity prices Co-movements, common factors and fundamentals Joseph P. Byrne |
| title_fullStr | Primary commodity prices Co-movements, common factors and fundamentals Joseph P. Byrne |
| title_full_unstemmed | Primary commodity prices Co-movements, common factors and fundamentals Joseph P. Byrne |
| title_short | Primary commodity prices |
| title_sort | primary commodity prices co movements common factors and fundamentals |
| title_sub | Co-movements, common factors and fundamentals |
| url | https://doi.org/10.1596/1813-9450-5578 |
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