The Comovement in Commodity Prices

Released on by Mr.Ron Alquist
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  • The Comovement in Commodity Prices Book Detail

  • Author : Mr.Ron Alquist
  • Release Date : 2013-06-05
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 63
  • ISBN 13 : 1484349377
  • File Size : 65,65 MB
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The Comovement in Commodity Prices by Mr.Ron Alquist PDF Summary

Book Description: We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations.

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The Comovement in Commodity Prices

The Comovement in Commodity Prices

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We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commoditi

The Myth of Comoving Commodity Prices

The Myth of Comoving Commodity Prices

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There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of econom