Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/179327
Authors: 
Delle Chiaie, Simona
Giannone, Domenico
Ferrara, Laurent
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2112
Abstract: 
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 fluctuations in commodity prices is well summarised by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining commodity price variations has increased since the 2000s, especially for oil prices.
Subjects: 
commodity prices
dynamic factor models
forecasting
JEL: 
C51
C53
Q02
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3026-0
Document Type: 
Working Paper
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