Byrne, Joseph P.Fazio, GiorgioFiess, Norbert2012-03-192012-03-192011-02-01https://hdl.handle.net/10986/3344The 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.CC BY 3.0 IGOANNUAL GROWTHARBITRAGEASSET PRICESASSET PRICINGBONDBONDSBORROWING COUNTRIESBUSINESS CYCLESCENTRAL BANKCOMMODITIESCOMMODITIES PRICESCOMMODITYCOMMODITY CURRENCIESCOMMODITY IMPORTCOMMODITY PRICECOMMODITY PRICE INDEXCOMMODITY PRICE INDEXESCOMMODITY PRICESCONSUMER PRICECONSUMER PRICE INDEXCONSUMER PRICE INFLATIONCURRENT ACCOUNTCURRENT ACCOUNTSDESCRIPTIVE STATISTICSDETERMINANTS OF FLUCTUATIONSDEVELOPING COUNTRIESECONOMIC ACTIVITYECONOMIC DEVELOPMENTECONOMIC GROWTHECONOMIC POLICYEMERGING MARKETEMERGING MARKET ECONOMIESEMERGING MARKETSEQUILIBRIUMEXCHANGE RATEEXCHANGE RATE VOLATILITYEXCHANGE RATESEXPLANATORY VARIABLESEXPORTERSFINANCIAL CRISESFINANCIAL INSTRUMENTSFISCAL POLICYFIXED EFFECTSFIXED INCOMEFOOD PRICESFUNDAMENTAL DETERMINANTSFUTURESFUTURES MARKETSGLOBAL DEMANDGLOBAL INFLATIONGLOBALIZATIONGROSS DOMESTIC PRODUCTGROWTH RATEIMBALANCESIMPACT OF SHOCKSIMPORTSINDUSTRIAL COUNTRIESINDUSTRIAL PRODUCTIONINNOVATIONINPUT PRICESINTEREST RATEINTEREST RATE EFFECTSINTEREST RATE SHOCKINTEREST RATESINTERNATIONAL BUSINESSINTERNATIONAL PRICESINVENTORIESINVENTORYINVENTORY LEVELSLIQUID ASSETSMARKET PRICESMARKET RISKMONETARY ECONOMICSMONETARY POLICIESMONETARY POLICYMUNICIPAL BONDMUNICIPAL BONDSNATURAL RESOURCESNOMINAL INTEREST RATESOIL PRICEOIL PRICESOPEN ACCESSOUTPUTPCPETROLEUM PRICESPRICE DYNAMICSPRICE INCREASESPRICE INDEXESPRICE INDICESPRICE MOVEMENTSPRICE OF OILPRICE RISKPRICE SERIESPRICE TRENDSPRICE UNCERTAINTYPRICING MODELPRIMARY COMMODITIESPRIMARY COMMODITYPRIMARY GOODSRATE OF RETURNREAL EFFECTIVE EXCHANGE RATESREAL EXCHANGE RATEREAL INTEREST RATEREAL INTEREST RATESRELATIVE PRICESRESIDUAL TERMRESULTRESULTSRISK PREMIUMROBUSTNESS CHECKSRSSSCATTER PLOTSSEARCHSERIAL CORRELATIONSPOT PRICESSTABILIZATION POLICIESSTANDARD DEVIATIONSTANDARD DEVIATIONSSTOCK MARKETSTOCK PRICESSUBSTITUTIONSUPPLY SHOCKSUPPLY SHOCKSTIME PERIODTRADE SHARESTREASURYTREASURY BILLTREASURY BILLSUSESVOLATILITYWEBWEIGHTSWORLD DEMANDWORLD ECONOMYWORLD TRADEWorld Bank10.1596/1813-9450-5578