Q02 - Global Commodity Crises

• A Dynamic Factor Model for Commodity Prices

  Staff Analytical Note 2017-12 Doga Bilgin, Reinhard Ellwanger

  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.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Econometric and statistical methods, Recent economic and financial developments JEL Code(s): C, C5, C51, Q, Q0, Q02