This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on...

This paper analyses the importance of common factors in shaping non-fuel commodityprice movements for the period 1957-2008. For this purpose, a dynamic factor modelis estimated using Kalman Filtering techniques. Based on this set-up we are able toseparate common and idiosyncratic developments of...

Amid the recent commodity price gyrations, policy makers have become increasinglyconcerned in assessing to what extent oil and food price shocks transmit to theinflationary outlook and the real economy. In this paper, we try to tackle this issue bymeans of a Global Vector Autoregressive (GVAR)...