00000nam 2200000za 4500 9.851088 CaOODSP 20250821075105 cr ||||||||||| 180205s2017 oncd #ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-7/2017-12E-PDF Bilgin, Doga. A dynamic factor model for commodity prices [electronic resource] / by Doga Bilgin and Reinhard Ellwanger. Ottawa : Bank of Canada, 2017. 11 p. : graphs Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-12 Title from cover. Includes bibliographical references. "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"--Abstract, p. 2. Text in English, abstract in English and French. gccst Economic indicators gccst Commodities gccst Prices Ellwanger, Reinhard. Bank of Canada. Staff analytical note (Bank of Canada) 2369-9639 ; 2017-12. (CaOODSP)9.807323 PDF 486 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-7-2017-12-eng.pdf