Delle Chiaie, Simona; Giannone, Domenico; Ferrara, Laurent - 2017
In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non …-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely … idiosyncratic shock. We find that the bulk of the fluctuations in commodity prices is well summarised by a single global factor …