期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：The behavior of commodities is critical for developing and developed countries alike.
This paper contributes to the empirical evidence on the co-movement and
determinants of commodity prices. Using nonstationary panel methods, we document
a statistically significant degree of co-movement due to a common factor. Within a
Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by
a simple asset pricing model, are both found to be negatively related to this common
factor. This evidence is robust to the inclusion of demand and supply shocks, which
both positively impact on the co-movement of commodity prices.
