UID:
edocfu_9958080736102883
Format:
1 online resource (64 p.)
ISBN:
1-4843-6175-X
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1-4843-4937-7
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1-4843-6425-2
Series Statement:
IMF working paper ; WP/13/140
Content:
We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations.
Note:
Description based upon print version of record.
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Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices
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3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings
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Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes
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Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices
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Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil
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English
Additional Edition:
ISBN 1-4843-7814-8
Additional Edition:
ISBN 1-299-67840-8
Language:
English
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