Primary commodity prices: Co-movements, common factors and fundamentals

Journal of Development Economics

Volumn 101, Issue 1, 2013, Pages 16-26

  Byrne, Joseph P ^a   Fazio, Giorgio ^a,b   Fiess, Norbert ^a,c  

^a UNIVERSITY OF GLASGOW   (United Kingdom)

^b UNIVERSITY OF PALERMO   (Italy)

^c WORLD BANK   (United States)

Author keywords

Commodity prices; Factor models; Panel estimation

Indexed keywords

COMMODITY PRICE; EMPIRICAL ANALYSIS; ESTIMATION METHOD; FACTOR ANALYSIS; INTEREST RATE; NUMERICAL MODEL; PANEL DATA;

EID: 84867771853     PISSN: 03043878     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jdeveco.2012.09.002     Document Type: Article

References (68)

1. Akram F.Q. Commodity prices, interest rates and the dollar. Energy Economics 2009, 31:838-851.
2. Alexander C. Market Risk Analysis, Volume II, Practical Financial Econometrics 2008, Wiley.
3. Anderson T.G., Bollerslev T., Diebold F.X., Embens H. The distribution of realized stock return volatility. Journal of Financial Economics 2001, 61:43-76.
4. Bai J., Ng S. Determining the number of factors in approximate factor models. Econometrica 2002, 70:191-221.
5. Bai J., Ng S. A PANIC attack on unit roots and cointegration. Econometrica 2004, 72:1127-1177.
6. Bai J., Ng S. Confidence intervals for diffusion index forecasts and inference for Factor-Augmented Regressions. Econometrica 2006, 74:1133-1150.
7. Balagtas J.V., Holt M.T. The commodity terms of trade, unit roots and nonlinear alternatives: a smooth transition approach. American Journal of Agricultural Economics 2009, 91:87-105.
8. Beck S. A rational expectations model of time varying risk premia in commodities futures markets: theory and evidence. International Economic Review 1993, 34:149-168.
9. Beck S. Autoregressive conditional heteroscedasticity in commodity spot prices. Journal of Applied Econometrics 2001, 16:115-132.
10. Bernanke B.S., Mihov I. The liquidity effect and long-run neutrality. Carnegie-Rochester Conference Series on Public Policy 1998, 49:149-194.
11. Bernanke B.S., Boivin J., Eliasz P. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 2005, 120:387-422.
12. Bleaney M., Greenaway D. The impact of terms of trade and real exchange rate volatility on investment and growth in sub-Saharan Africa. Journal of Development Economics 2001, 65:491-500.
13. Borensztein E., Reinhart C. The macroeconomic determinants of commodity prices. IMF Staff Papers 1994, 42:236-261.
14. Bunzel H., Vogelsang T.J. Powerful trend function tests that are robust to strong serial correlation with an application to the Prebisch-Singer hypothesis. Journal of Business and Economic Statistics 2005, 23:381-394.
15. Byrne J.P., Fazio G., Fiess N. The global side of the investment-saving puzzle. Journal of Money, Credit, and Banking 2009, 41:1033-1040.
16. Byrne J.P., Fazio G., Fiess N. Interest rate co-movements, global factors and the long end of the term spread. Journal of Banking and Finance 2012, 36:183-192.
17. Calvo G. Exploding commodity prices, lax monetary policy and sovereign wealth funds 2008, Vox EU, June 20. [http://www.voxeu.org/index.php?q=node/1244].
18. Cashin P., Liang H., McDermott J.C. How persistent are shocks to world commodity prices?. IMF Staff Papers 2000, 47:177-217.
19. Cashin P., McDermott J.C., Scott A. Booms and slumps in world commodity prices. Journal of Development Economics 2002, 69:277-296.
20. Chen Y., Rogoff K. Commodity currencies. Journal of International Economics 2003, 60:133-160.
21. Chen Y., Rogoff K., Rossi B. Can exchange rates forecast commodity prices?. The Quarterly Journal of Economics 2010, 125:1145-1194.
22. Christiano L., Eichenbaum M., Evans C.L. Chapter 2 Monetary policy shocks: what have we learned and to what end?. Handbook of Macroeconomics 1999, vol. 1, Part A:65-148. Elsevier.
23. Ciccarelli M., Mojon B. Global inflation. The Review of Economics and Statistics 2010, 92:524-535.
24. Clark T. Disaggregate evidence on the persistence of consumer price inflation. Journal of Applied Econometrics 2006, 21:563-587.
25. Cuddington J.T. Long-run trends in 26 primary commodity prices: a disaggregated look at the Prebisch-Singer hypothesis. Journal of Development Economics 1992, 39:207-227.
26. Cuddington J.T. An empirical analysis of real commodity price trends: aggregation, model selection, and implications. Estudios Economicos 1992, 7:159-179.
27. Cuddington J.T., Jerrett D. Super cycles in real metals prices. IMF Staff Papers 2008, 55:177-217.
28. Daude C., Melguizo A., Neut A. Fiscal policy in Latin America: countercyclical and sustainable at last?. OECD Development Centre Working Papers 291 2010.
29. Davidson R., MacKinnon J.G. Estimation and inference in econometrics 1993, Oxford University Press, New York.
30. Deaton A. Commodity prices and growth in Africa. Journal of Economic Perspectives 1999, 13:23-40.
31. Dhume, D., 2010. Using Durable Consumption Risk to Explain Commodities Returns. Mimeo, Harvard University.
32. Dixit A.K., Pindyck R.S. Investment Under Uncertainty 1994, Princeton University Press, Princeton.
33. Engle R.F., Lilien D.M., Robins P.R. Estimating time varying risk premia in the term structure: the Arch-M model. Econometrica 1987, 55:391-407.
34. Frankel J.A. Expectations and commodity price dynamics: the overshooting model. American Journal of Agricultural Economics 1986, 68:344-348.
35. Frankel J.A. The effect of monetary policy on real commodity prices. Asset Prices and Monetary Policy 2008, 291-333. NBER, University of Chicago, Chicago. J.Y. Campbell (Ed.).
36. French K.R., Schwert G.W., Stambaugh R.F. Expected stock returns and volatility. Journal of Financial Economics 1987, 19:3-30.
37. Grilli E., Yang M.C. Primary commodity prices, manufactured goods prices, and the terms of trade of developing countries: what the long run shows. The World Bank Economic Review 1988, 2:1-47.
38. Harvey D.I., Kellard N.M., Madsen J.B., Wohar M.E. The Prebisch-Singer hypothesis: four centuries of evidence. The Review of Economics and Statistics 2010, 92:367-377.
39. Hong, H.G., Yogo, M., 2010. Commodity Market Interest and Asset Return Predictability. Mimeo, Federal Reserve Bank of Minneapolis.
40. Jerrett D., Cuddington J.T. Broadening the statistical search for metal price super cycles to steel and related metals. Resources Policy 2008, 33:188-195.
41. Kellard N.M., Wohar M.E. On the prevalence of trends in primary commodity prices. Journal of Development Economics 2005, 79:146-167.
42. Koop G., Pesaran M.H., Potter S. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 1996, 74:119-147.
43. Kose M.A., Otrok C., Prasad E. Global business cycles: convergence or decoupling?. International Economic Review 2012, 53:511-538.
44. Kose M.A., Otrok C., Whiteman C.H. International business cycles: world, region, and country-specific factors. American Economic Review 2003, 93:1216-1239.
45. Krugman, P., 2008. Running Out of Planet to Exploit. New York Times Op-Ed Column, April 21. []. http://www.nytimes.com/2008/04/21/opinion/21krugman.html.
46. Leon J., Soto R. Structural breaks and long-run trends in commodity prices. Journal of International Development 1997, 9:347-366.
47. Lombardi M., Osbat C., Schnatz B. Global commodity cycles and linkages: a FAVAR approach. European Central Bank Working Paper 1170 2010.
48. MacDonald R., Ricci L.A. Estimation of the equilibrium real exchange rate for South Africa. South African Journal of Economics 2004, 72:282-304.
49. Mollick A.V., Faria J.R., Alburquerque P.H., León-Ledesma M.A. Can globalisation stop the decline in commodities terms of trade?. Cambridge Journal of Economics 2008, 32:683-701.
50. Monacelli T., Luca S. The international dimension of inflation: evidence from disaggregated consumer price data. Journal of Money, Credit, and Banking 2009, 41:101-120.
51. Muth J.F. Rational expectations and the theory of price movements. Econometrica 1961, 29:315-335.
52. Neftci S.N., Lu Y. Financial instruments to hedge commodity price risk for developing countries. IMF Working Papers 08/6, International Monetary Fund 2008.
53. Ng S. Testing cross-section correlation in panel data using spacings. Journal of Business and Economics Statistics 2006, 24:12-23.
54. Officer L.H. The Annual Consumer Price Index for the United States, 1774-2008 2009, MeasuringWorth, [http://www.measuringworth.org/uscpi/].
55. Pagan A.R., Ullah A. The econometric analysis of models with risk terms. Journal of Applied Econometrics 1988, 3:87-105.
56. Pesaran H., Shin Y. Generalized impulse response analysis in linear multivariate models. Economics Letters 1998, 58(1):17-29.
57. Pfaffenzeller S., Newbold P., Rayner A. A short note on updating the Grilli and Yang Commodity Price Index. The World Bank Economic Review 2007, 21:151-163.
58. Pindyck R.S., Rotemberg J.J. The excess co-movement of commodity prices. The Economic Journal 1990, 100:1173-1187.
59. Prebisch R. The economic development of Latin America and its principal problems. Economic Bulletin for Latin America 1950, 1962:1-22.
60. Sims C. Macroeconomics and reality. Econometrica 1980, 48:1-48.
61. Sims C. Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review 1992, 36:975-1000.
62. Singer H. The distribution of gains between investing and borrowing countries. American Economic Review 1950, 40:473-485.
63. Stock J.H., Watson M.W. The Evolution of National and Regional Factors in U.S. Housing Construction. Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle 2010, 35-60. Oxford University Press, New York. T. Bollerslev, J.R. Russell, M.W. Watson (Eds.).
64. Svensson L.E.O. The effect of monetary policy on real commodity prices: comment. Asset Prices and Monetary Policy 2008, NBER, University of Chicago, Chicago. J.Y. Campbell (Ed.).
65. Vansteenkiste I. How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis. European Central Bank Working Paper 1072 2009.
66. Williamson S.H. Daily Closing Value of the Dow Jones Average, 1885 to Present 2008, MeasuringWorth, [http://www.measuringworth.org/DJA].
67. Wolf, M., 2008. Life in a tough world of high commodity prices. Financial Times. March 4. []. http://blogs.ft.com/economistsforum/2008/03/life-in-a-tough-world-of-high-commodity-prices/.
68. Zanias G.P. Testing for trends in the terms of trade between primary commodities and manufactured goods. Journal of Development Economics 2005, 78:45-59.