Erschienen:
Cambridge, Mass: National Bureau of Economic Research, March 2014
Erschienen in:NBER working paper series ; no. w20003
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w20003
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Beschreibung:
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions through which factors have economic interpretations: one factor captures the combined contribution of shocks that affect commodity markets only through general equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations