Lombardi, Marco J.
[VerfasserIn]
;
Osbat, Chiara
[Sonstige Person, Familie und Körperschaft];
Schnatz, Bernd
[Sonstige Person, Familie und Körperschaft]
Global Commodity Cycles and Linkages
: A FAVAR Approach
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 26, 2010 erstellt
Beschreibung:
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables, which have been associated with developments in commodity prices. Impulse response functions confirm that exchange rates and of economic activity affect individual non-energy commodity prices, but we fail to find strong spillovers from oil to non-oil commodity prices or an impact of the interest rate. In addition, we find that individual commodity prices are affected by common trends captured by the food and metals factors