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| 01903nam 2200325za 4500 |
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| 001 | 9.851088 |
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| 003 | CaOODSP |
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| 005 | 20221107154318 |
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| 007 | cr ||||||||||| |
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| 008 | 180205s2017 oncd #ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-7/2017-12E-PDF |
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| 100 | 1 |aBilgin, Doga. |
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| 245 | 12|aA dynamic factor model for commodity prices |h[electronic resource] / |cby Doga Bilgin and Reinhard Ellwanger. |
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| 260 | |aOttawa : |bBank of Canada, |c2017. |
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| 300 | |a11 p. : |bgraphs |
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| 490 | 1 |aStaff analytical note = Note analytique du personnel, |x2369-9639 ; |v2017-12 |
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| 500 | |aTitle from cover. |
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| 504 | |aIncludes bibliographical references. |
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| 520 | |a"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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| 546 | |aText in English, abstract in English and French. |
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| 692 | 07|2gccst|aEconomic indicators |
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| 692 | 07|2gccst|aCommodities |
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| 692 | 07|2gccst|aPrices |
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| 700 | 1 |aEllwanger, Reinhard. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff analytical note,|x2369-9639 ; |v2017-12.|w(CaOODSP)9.807323 |
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| 856 | 40|qPDF|s486 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-7-2017-12-eng.pdf |
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