Abstract
In this article, we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and food prices. These factors are included in a FAVAR model together with selected macroeconomic variables, which have been associated with developments in commodity prices. Impulse response functions confirm that exchange rates and economic activity affect individual non-energy commodity prices, but we fail to find strong spillovers from oil to non-oil commodity prices or an impact of the interest rate. In addition, we find that individual commodity prices are affected by common trends captured by the food and metals factors.
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Lombardi, M.J., Osbat, C. & Schnatz, B. Global commodity cycles and linkages: a FAVAR approach. Empir Econ 43, 651–670 (2012). https://doi.org/10.1007/s00181-011-0494-8
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DOI: https://doi.org/10.1007/s00181-011-0494-8