Skema > Faculty and Research > Publication-details
 

FACULTY AND RESEARCH

 

 

Publication

Common factors of commodity prices
Simona DELLE CHIAIE
, ,
Domenico GIANNONE
2022, Journal of Applied Econometrics, 37(3), pp.461-476
block structure
commodity prices
comovement
factor models
Abstract
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components, and a purely idiosyncratic component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and, since the early 2000s, has become more important in explaining variations in commodity prices.

Why choose SKEMA?
At the top of French and international rankings SEE RANKINGS
A global business school SEE SKEMA NEWS
A wide range of programmes COMPARE