Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153604
Authors: 
Lombardi, Marco J.
Osbat, Chiara
Schnatz, Bernd
Year of Publication: 
2010
Series/Report no.: 
ECB Working Paper 1170
Abstract: 
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables, which have been associated with developments in commodity prices. Impulse response functions confirm that exchange rates and of economic activity affect individual nonenergy commodity prices, but we fail to find strong spillovers from oil to non-oil commodity prices or an impact of the interest rate. In addition, we find that individual commodity prices are affected by common trends captured by the food and metals factors.
Subjects: 
commodity prices
Exchange Rates
FAVAR
Globalisation
Oil Price
JEL: 
E3
F3
Document Type: 
Working Paper

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