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http://ssrn.com/abstract=1578968
 
 

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Global Commodity Cycles and Linkages: A FAVAR Approach


Marco J. Lombardi


European Central Bank (ECB)

Chiara Osbat


European Central Bank (ECB)

Bernd Schnatz


European Central Bank (ECB)

March 26, 2010

ECB Working Paper No. 1170

Abstract:     
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables, which have been associated with developments in commodity prices. Impulse response functions confirm that exchange rates and of economic activity affect individual non-energy commodity prices, but we fail to find strong spillovers from oil to non-oil commodity prices or an impact of the interest rate. In addition, we find that individual commodity prices are affected by common trends captured by the food and metals factors.

Number of Pages in PDF File: 23

Keywords: Oil Price, Commodity Prices, Exchange Rates, Globalisation, FAVAR

JEL Classification: E3, F3

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Date posted: April 19, 2010  

Suggested Citation

Lombardi, Marco J. and Osbat, Chiara and Schnatz, Bernd, Global Commodity Cycles and Linkages: A FAVAR Approach (March 26, 2010). ECB Working Paper No. 1170. Available at SSRN: http://ssrn.com/abstract=1578968

Contact Information

Marco J. Lombardi (Contact Author)
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
Chiara Osbat
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
+49 69 1344 6821 (Phone)
+49 69 1344 6000 (Fax)
Bernd Schnatz
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
069-1344-6517 (Phone)
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