Primary Commodity Prices : Co-movements, Common Factors and Fundamentals

Byrne, Joseph P. ; Fazio, Giorgio ; Fiess, Norbert

关键词: ANNUAL GROWTH;    ARBITRAGE;    ASSET PRICES;    ASSET PRICING;    BOND;   

DOI  :  10.1596/1813-9450-5578
RP-ID  :  WPS5578

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The behavior of commodities is criticalfor developing and developed countries alike. This papercontributes to the empirical evidence on the co-movement anddeterminants of commodity prices. Using nonstationary panelmethods, the authors document a statistically significantdegree of co-movement due to a common factor. Within aFactor Augmented VAR approach, real interest rate anduncertainty, as postulated by a simple asset pricing model,are both found to be negatively related to this commonfactor. This evidence is robust to the inclusion of demandand supply shocks, which both positively impact onco-movement of commodity prices.