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The Comovement in Commodity Prices :, Sources and Implications, Ron Alquist, Olivier Coibion

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Abstract
We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations
Table Of Contents
Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (64 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781484349373

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