Common factors of commodity prices
نویسندگان
چکیده
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each price series into global (or common) component, block-specific components, purely idiosyncratic component. find that the bulk fluctuations in prices are well summarized by single factor. This factor is closely related to economic activity and, since early 2000s, has become more important explaining variations prices.
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2021
ISSN: ['1099-1255', '0883-7252']
DOI: https://doi.org/10.1002/jae.2887