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.

Bibliographic Details

Main Authors:	Byrne, Joseph P., Fazio, Giorgio, Fiess, Norbert
Format:	Policy Research Working Paper biblioteca
Language:	English
Published:	2011-02-01
Subjects:	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,
Online Access:	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 http://hdl.handle.net/10986/3344
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