Lombardi, Marco; Osbat, Chiara; Schnatz, Bernd - 2010
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 … trends captured by the food and metals factors. - Oil price ; Commodity prices ; Exchange rates ; Globalisation ; FAVAR …