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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.851088&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | A dynamic factor model for commodity prices / by Doga Bilgin and Reinhard Ellwanger. |
| Titre de la série | Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-12 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | Title from cover. Includes bibliographical references. Text in English, abstract in English and French. |
| Information sur la publication | Ottawa : Bank of Canada, 2017. |
| Auteur / Contributeur | Bilgin, Doga. Ellwanger, Reinhard. |
| Description | 11 p. : graphs |
| Numéro de catalogue |
|
| Descripteurs | Economic indicators Commodities Prices |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :