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The Comovement in Commodity Prices.

Author: Ron Alquist; Olivier Coibion
Publisher: Washington : International Monetary Fund, 2013.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Alquist, Ron.
Comovement in Commodity Prices: Sources and Implications.
Washington : International Monetary Fund, ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ron Alquist; Olivier Coibion
ISBN: 9781484349373 1484349377
OCLC Number: 867928192
Notes: Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil.
Description: 1 online resource (64 pages).
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. 3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings. Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes. Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices.
Series Title: IMF Working Papers.

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 stru.

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