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.
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| Title | A dynamic factor model for commodity prices / by Doga Bilgin and Reinhard Ellwanger. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | 11 p. : graphs |
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