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

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

dc.creator	Byrne, Joseph P.
dc.creator	Fazio, Giorgio
dc.creator	Fiess, Norbert
dc.date	2012-03-19T18:00:42Z
dc.date	2012-03-19T18:00:42Z
dc.date	2011-02-01
dc.date.accessioned	2023-02-17T20:54:55Z
dc.date.available	2023-02-17T20:54:55Z
dc.identifier	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
dc.identifier	http://hdl.handle.net/10986/3344
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/244294
dc.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.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5578
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ANNUAL GROWTH
dc.subject	ARBITRAGE
dc.subject	ASSET PRICES
dc.subject	ASSET PRICING
dc.subject	BOND
dc.subject	BONDS
dc.subject	BORROWING COUNTRIES
dc.subject	BUSINESS CYCLES
dc.subject	CENTRAL BANK
dc.subject	COMMODITIES
dc.subject	COMMODITIES PRICES
dc.subject	COMMODITY
dc.subject	COMMODITY CURRENCIES
dc.subject	COMMODITY IMPORT
dc.subject	COMMODITY PRICE
dc.subject	COMMODITY PRICE INDEX
dc.subject	COMMODITY PRICE INDEXES
dc.subject	COMMODITY PRICES
dc.subject	CONSUMER PRICE
dc.subject	CONSUMER PRICE INDEX
dc.subject	CONSUMER PRICE INFLATION
dc.subject	CURRENT ACCOUNT
dc.subject	CURRENT ACCOUNTS
dc.subject	DESCRIPTIVE STATISTICS
dc.subject	DETERMINANTS OF FLUCTUATIONS
dc.subject	DEVELOPING COUNTRIES
dc.subject	ECONOMIC ACTIVITY
dc.subject	ECONOMIC DEVELOPMENT
dc.subject	ECONOMIC GROWTH
dc.subject	ECONOMIC POLICY
dc.subject	EMERGING MARKET
dc.subject	EMERGING MARKET ECONOMIES
dc.subject	EMERGING MARKETS
dc.subject	EQUILIBRIUM
dc.subject	EXCHANGE RATE
dc.subject	EXCHANGE RATE VOLATILITY
dc.subject	EXCHANGE RATES
dc.subject	EXPLANATORY VARIABLES
dc.subject	EXPORTERS
dc.subject	FINANCIAL CRISES
dc.subject	FINANCIAL INSTRUMENTS
dc.subject	FISCAL POLICY
dc.subject	FIXED EFFECTS
dc.subject	FIXED INCOME
dc.subject	FOOD PRICES
dc.subject	FUNDAMENTAL DETERMINANTS
dc.subject	FUTURES
dc.subject	FUTURES MARKETS
dc.subject	GLOBAL DEMAND
dc.subject	GLOBAL INFLATION
dc.subject	GLOBALIZATION
dc.subject	GROSS DOMESTIC PRODUCT
dc.subject	GROWTH RATE
dc.subject	IMBALANCES
dc.subject	IMPACT OF SHOCKS
dc.subject	IMPORTS
dc.subject	INDUSTRIAL COUNTRIES
dc.subject	INDUSTRIAL PRODUCTION
dc.subject	INNOVATION
dc.subject	INPUT PRICES
dc.subject	INTEREST RATE
dc.subject	INTEREST RATE EFFECTS
dc.subject	INTEREST RATE SHOCK
dc.subject	INTEREST RATES
dc.subject	INTERNATIONAL BUSINESS
dc.subject	INTERNATIONAL PRICES
dc.subject	INVENTORIES
dc.subject	INVENTORY
dc.subject	INVENTORY LEVELS
dc.subject	LIQUID ASSETS
dc.subject	MARKET PRICES
dc.subject	MARKET RISK
dc.subject	MONETARY ECONOMICS
dc.subject	MONETARY POLICIES
dc.subject	MONETARY POLICY
dc.subject	MUNICIPAL BOND
dc.subject	MUNICIPAL BONDS
dc.subject	NATURAL RESOURCES
dc.subject	NOMINAL INTEREST RATES
dc.subject	OIL PRICE
dc.subject	OIL PRICES
dc.subject	OPEN ACCESS
dc.subject	OUTPUT
dc.subject	PC
dc.subject	PETROLEUM PRICES
dc.subject	PRICE DYNAMICS
dc.subject	PRICE INCREASES
dc.subject	PRICE INDEXES
dc.subject	PRICE INDICES
dc.subject	PRICE MOVEMENTS
dc.subject	PRICE OF OIL
dc.subject	PRICE RISK
dc.subject	PRICE SERIES
dc.subject	PRICE TRENDS
dc.subject	PRICE UNCERTAINTY
dc.subject	PRICING MODEL
dc.subject	PRIMARY COMMODITIES
dc.subject	PRIMARY COMMODITY
dc.subject	PRIMARY GOODS
dc.subject	RATE OF RETURN
dc.subject	REAL EFFECTIVE EXCHANGE RATES
dc.subject	REAL EXCHANGE RATE
dc.subject	REAL INTEREST RATE
dc.subject	REAL INTEREST RATES
dc.subject	RELATIVE PRICES
dc.subject	RESIDUAL TERM
dc.subject	RESULT
dc.subject	RESULTS
dc.subject	RISK PREMIUM
dc.subject	ROBUSTNESS CHECKS
dc.subject	RSS
dc.subject	SCATTER PLOTS
dc.subject	SEARCH
dc.subject	SERIAL CORRELATION
dc.subject	SPOT PRICES
dc.subject	STABILIZATION POLICIES
dc.subject	STANDARD DEVIATION
dc.subject	STANDARD DEVIATIONS
dc.subject	STOCK MARKET
dc.subject	STOCK PRICES
dc.subject	SUBSTITUTION
dc.subject	SUPPLY SHOCK
dc.subject	SUPPLY SHOCKS
dc.subject	TIME PERIOD
dc.subject	TRADE SHARES
dc.subject	TREASURY
dc.subject	TREASURY BILL
dc.subject	TREASURY BILLS
dc.subject	USES
dc.subject	VOLATILITY
dc.subject	WEB
dc.subject	WEIGHTS
dc.subject	WORLD DEMAND
dc.subject	WORLD ECONOMY
dc.subject	WORLD TRADE
dc.title	Primary Commodity Prices : Co-movements, Common Factors and Fundamentals
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	The World Region
dc.coverage	The World Region