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

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collection.link.5
https://openknowledge.worldbank.org/handle/10986/9
collection.name.5
Policy Research Working Papers
dc.contributor.author
Byrne, Joseph P.
dc.contributor.author
Fazio, Giorgio
dc.contributor.author
Fiess, Norbert
dc.date.accessioned
2012-03-19T18:00:42Z
dc.date.available
2012-03-19T18:00:42Z
dc.date.issued
2011-02-01
dc.date.lastModified
2021-04-23T14:02:09Z
dc.description.abstract
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.
en
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.uri
http://hdl.handle.net/10986/3344
dc.language
English
dc.relation.ispartofseries
Policy Research working paper ; no. WPS 5578
dc.rights
CC BY 3.0 IGO
dc.rights.holder
World Bank
dc.rights.uri
http://creativecommons.org/licenses/by/3.0/igo/
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
en
okr.date.disclosure
2011-02-01
okr.doctype
Publications & Research :: Policy Research Working Paper
okr.docurl
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
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1596/1813-9450-5578
okr.identifier.externaldocumentum
000158349_20110228101354
okr.identifier.internaldocumentum
13839315
okr.identifier.report
WPS5578
okr.language.supported
en
okr.pdfurl
http://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2011/02/28/000158349_20110228101354/Rendered/PDF/WPS5578.pdf
en
okr.region.administrative
The World Region
okr.region.administrative
The World Region
okr.unit
Development Research Group (DECRG)
okr.volume
1 of 1

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