Simona Delle Chiaie
Laurent Ferrara
Domenico Giannone

common factors of commodity prices (replication data)

In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components, and a purely idiosyncratic component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and, since the early 2000s, has become more important in explaining variations in commodity prices.

Data and Resources

Suggested Citation

Chiaie, Simona Delle; Ferrara, Laurent; Giannone, Domenico (2022): Common factors of commodity prices (replication data). Version: 1. Journal of Applied Econometrics. Dataset.