Extent: | Online-Ressource (62 S.) graph. Darst. |
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Series: | IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 13/140 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Description based upon print version of record Systemvoraussetzungen: Acrobat Reader 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 Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil |
ISBN: | 978-1-4843-7814-4 |
Other identifiers: | 10.5089/9781484378144.001 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010126164