A dynamic factor model for commodity prices / by Doga Bilgin and Reinhard Ellwanger.: FB3-7/2017-12E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.851088&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | A dynamic factor model for commodity prices / by Doga Bilgin and Reinhard Ellwanger. |
| Series title | Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-12 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Title from cover. Includes bibliographical references. Text in English, abstract in English and French. |
| Publishing information | Ottawa : Bank of Canada, 2017. |
| Author / Contributor | Bilgin, Doga. Ellwanger, Reinhard. |
| Description | 11 p. : graphs |
| Catalogue number |
|
| Subject terms | Economic indicators Commodities Prices |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.- Date modified: