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

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dc.contributor.authorByrne, Joseph P.
dc.contributor.authorFazio, Giorgio
dc.contributor.authorFiess, Norbert
dc.date.accessioned2012-03-19T18:00:42Z
dc.date.available2012-03-19T18:00:42Z
dc.date.issued2011-02-01
dc.description.abstractThe 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.en
dc.identifierhttp://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.doi10.1596/1813-9450-5578
dc.identifier.urihttps://hdl.handle.net/10986/3344
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5578
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectANNUAL GROWTH
dc.subjectARBITRAGE
dc.subjectASSET PRICES
dc.subjectASSET PRICING
dc.subjectBOND
dc.subjectBONDS
dc.subjectBORROWING COUNTRIES
dc.subjectBUSINESS CYCLES
dc.subjectCENTRAL BANK
dc.subjectCOMMODITIES
dc.subjectCOMMODITIES PRICES
dc.subjectCOMMODITY
dc.subjectCOMMODITY CURRENCIES
dc.subjectCOMMODITY IMPORT
dc.subjectCOMMODITY PRICE
dc.subjectCOMMODITY PRICE INDEX
dc.subjectCOMMODITY PRICE INDEXES
dc.subjectCOMMODITY PRICES
dc.subjectCONSUMER PRICE
dc.subjectCONSUMER PRICE INDEX
dc.subjectCONSUMER PRICE INFLATION
dc.subjectCURRENT ACCOUNT
dc.subjectCURRENT ACCOUNTS
dc.subjectDESCRIPTIVE STATISTICS
dc.subjectDETERMINANTS OF FLUCTUATIONS
dc.subjectDEVELOPING COUNTRIES
dc.subjectECONOMIC ACTIVITY
dc.subjectECONOMIC DEVELOPMENT
dc.subjectECONOMIC GROWTH
dc.subjectECONOMIC POLICY
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKET ECONOMIES
dc.subjectEMERGING MARKETS
dc.subjectEQUILIBRIUM
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATE VOLATILITY
dc.subjectEXCHANGE RATES
dc.subjectEXPLANATORY VARIABLES
dc.subjectEXPORTERS
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL INSTRUMENTS
dc.subjectFISCAL POLICY
dc.subjectFIXED EFFECTS
dc.subjectFIXED INCOME
dc.subjectFOOD PRICES
dc.subjectFUNDAMENTAL DETERMINANTS
dc.subjectFUTURES
dc.subjectFUTURES MARKETS
dc.subjectGLOBAL DEMAND
dc.subjectGLOBAL INFLATION
dc.subjectGLOBALIZATION
dc.subjectGROSS DOMESTIC PRODUCT
dc.subjectGROWTH RATE
dc.subjectIMBALANCES
dc.subjectIMPACT OF SHOCKS
dc.subjectIMPORTS
dc.subjectINDUSTRIAL COUNTRIES
dc.subjectINDUSTRIAL PRODUCTION
dc.subjectINNOVATION
dc.subjectINPUT PRICES
dc.subjectINTEREST RATE
dc.subjectINTEREST RATE EFFECTS
dc.subjectINTEREST RATE SHOCK
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BUSINESS
dc.subjectINTERNATIONAL PRICES
dc.subjectINVENTORIES
dc.subjectINVENTORY
dc.subjectINVENTORY LEVELS
dc.subjectLIQUID ASSETS
dc.subjectMARKET PRICES
dc.subjectMARKET RISK
dc.subjectMONETARY ECONOMICS
dc.subjectMONETARY POLICIES
dc.subjectMONETARY POLICY
dc.subjectMUNICIPAL BOND
dc.subjectMUNICIPAL BONDS
dc.subjectNATURAL RESOURCES
dc.subjectNOMINAL INTEREST RATES
dc.subjectOIL PRICE
dc.subjectOIL PRICES
dc.subjectOPEN ACCESS
dc.subjectOUTPUT
dc.subjectPC
dc.subjectPETROLEUM PRICES
dc.subjectPRICE DYNAMICS
dc.subjectPRICE INCREASES
dc.subjectPRICE INDEXES
dc.subjectPRICE INDICES
dc.subjectPRICE MOVEMENTS
dc.subjectPRICE OF OIL
dc.subjectPRICE RISK
dc.subjectPRICE SERIES
dc.subjectPRICE TRENDS
dc.subjectPRICE UNCERTAINTY
dc.subjectPRICING MODEL
dc.subjectPRIMARY COMMODITIES
dc.subjectPRIMARY COMMODITY
dc.subjectPRIMARY GOODS
dc.subjectRATE OF RETURN
dc.subjectREAL EFFECTIVE EXCHANGE RATES
dc.subjectREAL EXCHANGE RATE
dc.subjectREAL INTEREST RATE
dc.subjectREAL INTEREST RATES
dc.subjectRELATIVE PRICES
dc.subjectRESIDUAL TERM
dc.subjectRESULT
dc.subjectRESULTS
dc.subjectRISK PREMIUM
dc.subjectROBUSTNESS CHECKS
dc.subjectRSS
dc.subjectSCATTER PLOTS
dc.subjectSEARCH
dc.subjectSERIAL CORRELATION
dc.subjectSPOT PRICES
dc.subjectSTABILIZATION POLICIES
dc.subjectSTANDARD DEVIATION
dc.subjectSTANDARD DEVIATIONS
dc.subjectSTOCK MARKET
dc.subjectSTOCK PRICES
dc.subjectSUBSTITUTION
dc.subjectSUPPLY SHOCK
dc.subjectSUPPLY SHOCKS
dc.subjectTIME PERIOD
dc.subjectTRADE SHARES
dc.subjectTREASURY
dc.subjectTREASURY BILL
dc.subjectTREASURY BILLS
dc.subjectUSES
dc.subjectVOLATILITY
dc.subjectWEB
dc.subjectWEIGHTS
dc.subjectWORLD DEMAND
dc.subjectWORLD ECONOMY
dc.subjectWORLD TRADE
dc.titlePrimary Commodity Prices : Co-movements, Common Factors and Fundamentalsen
dspace.entity.typePublication
okr.crossref.titlePrimary commodity prices: Co-movements, common factors and fundamentals
okr.date.disclosure2011-02-01
okr.date.doiregistration2025-04-10T11:33:06.139666Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110228101354
okr.guid795821468154468123
okr.identifier.doi10.1596/1813-9450-5578
okr.identifier.externaldocumentum000158349_20110228101354
okr.identifier.internaldocumentum13839315
okr.identifier.reportWPS5578
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2011/02/28/000158349_20110228101354/Rendered/PDF/WPS5578.pdfen
okr.region.administrativeThe World Region
okr.region.administrativeThe World Region
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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