Co-movements in commodity prices: Global, sectoral and commodity-specific factors

Libo Yin; Liyan Han

doi:10.1016/j.econlet.2014.11.027

Co-movements in commodity prices: Global, sectoral and commodity-specific factors

Libo Yin^*
, Liyan Han

^*此作品的通讯作者

经济管理学院

Central University of Finance and Economics

科研成果: 期刊稿件 › 文章 › 同行评审

20 引用（Scopus）

摘要

This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity returns. A sub-sample analysis further reveals that the global factor increases significantly in importance since 2004, which indicates an increasing integration among commodity markets.

源语言	英语
页（从-至）	96-100
页数	5
期刊	Economics Letters
卷	126
DOI	https://doi.org/10.1016/j.econlet.2014.11.027
出版状态	已出版 - 1 1月 2015

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10.1016/j.econlet.2014.11.027

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abstract = "This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity returns. A sub-sample analysis further reveals that the global factor increases significantly in importance since 2004, which indicates an increasing integration among commodity markets.",

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N2 - This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity returns. A sub-sample analysis further reveals that the global factor increases significantly in importance since 2004, which indicates an increasing integration among commodity markets.

AB - This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity returns. A sub-sample analysis further reveals that the global factor increases significantly in importance since 2004, which indicates an increasing integration among commodity markets.

KW - Bayesian estimation

KW - Co-movements

KW - Commodity returns

KW - Dynamic latent factor model

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Co-movements in commodity prices: Global, sectoral and commodity-specific factors

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