NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Commodity-Price Comovement and Global Economic Activity

Ron Alquist, Olivier Coibion

NBER Working Paper No. 20003
Issued in March 2014, Revised in August 2014
NBER Program(s):Economic Fluctuations and Growth, International Finance and Macroeconomics, Monetary Economics

Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions through which factors have economic interpretations: one factor captures the combined contribution of shocks that affect commodity markets only through general equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.

download in pdf format
   (1447 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w20003

Users who downloaded this paper also downloaded* these:
GalĂ­ and Gambetti w19981 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
Hu and Xiong w19706 Are Commodity Futures Prices Barometers of the Global Economy?
Jacks w18874 From Boom to Bust: A Typology of Real Commodity Prices in the Long Run
Acemoglu, Naidu, Restrepo, and Robinson w20004 Democracy Does Cause Growth
Hamilton and Wu w19892 Effects of Index-Fund Investing on Commodity Futures Prices
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us