Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/179327 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ECB Working Paper No. 2112
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
commodity prices
dynamic factor models
forecasting
JEL: 
C51
C53
Q02
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3026-0
Dokumentart: 
Working Paper

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