Primary Commodity Prices : Co-movements, Common Factors and Fundamentals
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.
Saved in:
| id |
dig-okr-109863344 |
|---|---|
| record_format |
koha |
| spelling |
dig-okr-1098633442024-08-08T15:46:47Z Primary Commodity Prices : Co-movements, Common Factors and Fundamentals Byrne, Joseph P. Fazio, Giorgio Fiess, Norbert ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices. 2012-03-19T18:00:42Z 2012-03-19T18:00:42Z 2011-02-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110228101354 https://hdl.handle.net/10986/3344 English Policy Research working paper ; no. WPS 5578 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank application/pdf text/plain |
| institution |
Banco Mundial |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English |
| topic |
ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE |
| spellingShingle |
ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE Byrne, Joseph P. Fazio, Giorgio Fiess, Norbert Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| description |
The behavior of commodities is critical
for developing and developed countries alike. This paper
contributes to the empirical evidence on the co-movement and
determinants of commodity prices. Using nonstationary panel
methods, the authors document a statistically significant
degree of co-movement due to a common factor. Within a
Factor Augmented VAR approach, real interest rate and
uncertainty, as postulated by a simple asset pricing model,
are both found to be negatively related to this common
factor. This evidence is robust to the inclusion of demand
and supply shocks, which both positively impact on
co-movement of commodity prices. |
| topic_facet |
ANNUAL GROWTH ARBITRAGE ASSET PRICES ASSET PRICING BOND BONDS BORROWING COUNTRIES BUSINESS CYCLES CENTRAL BANK COMMODITIES COMMODITIES PRICES COMMODITY COMMODITY CURRENCIES COMMODITY IMPORT COMMODITY PRICE COMMODITY PRICE INDEX COMMODITY PRICE INDEXES COMMODITY PRICES CONSUMER PRICE CONSUMER PRICE INDEX CONSUMER PRICE INFLATION CURRENT ACCOUNT CURRENT ACCOUNTS DESCRIPTIVE STATISTICS DETERMINANTS OF FLUCTUATIONS DEVELOPING COUNTRIES ECONOMIC ACTIVITY ECONOMIC DEVELOPMENT ECONOMIC GROWTH ECONOMIC POLICY EMERGING MARKET EMERGING MARKET ECONOMIES EMERGING MARKETS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE VOLATILITY EXCHANGE RATES EXPLANATORY VARIABLES EXPORTERS FINANCIAL CRISES FINANCIAL INSTRUMENTS FISCAL POLICY FIXED EFFECTS FIXED INCOME FOOD PRICES FUNDAMENTAL DETERMINANTS FUTURES FUTURES MARKETS GLOBAL DEMAND GLOBAL INFLATION GLOBALIZATION GROSS DOMESTIC PRODUCT GROWTH RATE IMBALANCES IMPACT OF SHOCKS IMPORTS INDUSTRIAL COUNTRIES INDUSTRIAL PRODUCTION INNOVATION INPUT PRICES INTEREST RATE INTEREST RATE EFFECTS INTEREST RATE SHOCK INTEREST RATES INTERNATIONAL BUSINESS INTERNATIONAL PRICES INVENTORIES INVENTORY INVENTORY LEVELS LIQUID ASSETS MARKET PRICES MARKET RISK MONETARY ECONOMICS MONETARY POLICIES MONETARY POLICY MUNICIPAL BOND MUNICIPAL BONDS NATURAL RESOURCES NOMINAL INTEREST RATES OIL PRICE OIL PRICES OPEN ACCESS OUTPUT PC PETROLEUM PRICES PRICE DYNAMICS PRICE INCREASES PRICE INDEXES PRICE INDICES PRICE MOVEMENTS PRICE OF OIL PRICE RISK PRICE SERIES PRICE TRENDS PRICE UNCERTAINTY PRICING MODEL PRIMARY COMMODITIES PRIMARY COMMODITY PRIMARY GOODS RATE OF RETURN REAL EFFECTIVE EXCHANGE RATES REAL EXCHANGE RATE REAL INTEREST RATE REAL INTEREST RATES RELATIVE PRICES RESIDUAL TERM RESULT RESULTS RISK PREMIUM ROBUSTNESS CHECKS RSS SCATTER PLOTS SEARCH SERIAL CORRELATION SPOT PRICES STABILIZATION POLICIES STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK PRICES SUBSTITUTION SUPPLY SHOCK SUPPLY SHOCKS TIME PERIOD TRADE SHARES TREASURY TREASURY BILL TREASURY BILLS USES VOLATILITY WEB WEIGHTS WORLD DEMAND WORLD ECONOMY WORLD TRADE |
| author |
Byrne, Joseph P. Fazio, Giorgio Fiess, Norbert |
| author_facet |
Byrne, Joseph P. Fazio, Giorgio Fiess, Norbert |
| author_sort |
Byrne, Joseph P. |
| title |
Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| title_short |
Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| title_full |
Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| title_fullStr |
Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| title_full_unstemmed |
Primary Commodity Prices : Co-movements, Common Factors and Fundamentals |
| title_sort |
primary commodity prices : co-movements, common factors and fundamentals |
| publishDate |
2011-02-01 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110228101354 https://hdl.handle.net/10986/3344 |
| work_keys_str_mv |
AT byrnejosephp primarycommoditypricescomovementscommonfactorsandfundamentals AT faziogiorgio primarycommoditypricescomovementscommonfactorsandfundamentals AT fiessnorbert primarycommoditypricescomovementscommonfactorsandfundamentals |
| _version_ |
1807155660593299456 |