A Dynamic Factor Model for Commodity Prices (eBook, 2017) [WorldCat.org]
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A Dynamic Factor Model for Commodity Prices

Author: Doga Bilgin; Reinhard Ellwanger
Publisher: Ottawa, ON, CA : Bank of Canada, 2017. ©2017
Series: Staff Analytical Note/Note analytique du personnel, 2017-12.
Edition/Format:   eBook : Document : National government publication : English
Summary:
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common "global" component, a "block" component confined to subgroups of economically related commodities and an idiosyncratic price shock component. Unlike with ordinary factor models, these components have  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Doga Bilgin; Reinhard Ellwanger
OCLC Number: 1028582456
Language Note: Text in English; abstract in English and French.
Description: 1 online resource (11 pages).
Series Title: Staff Analytical Note/Note analytique du personnel, 2017-12.
Responsibility: Doga Bilgin.
More information:

Abstract:

In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common "global" component, a "block" component confined to subgroups of economically related commodities and an idiosyncratic price shock component. Unlike with ordinary factor models, these components have meaningful economic interpretations: the global component mostly relates to global commodity demand shocks, while the idiosyncratic component mostly relates to commodity-specific supply shocks. We give several examples to show that the CFM provides plausible historical decompositions.

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