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 …

broad commodity price index and all of its components. While these effects are significant, they however do not appear to be … overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock …

-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 … commodity price variations has increased since the 2000s, especially for oil prices …

underline the importance of the source of an oil shock for its macroeconomic consequences. Oil supply shocks have been less …

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 …

where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a … frequency of the shock, and (iv) the full set of relevant endogenous variables entering the DGP is unknown or unobserved …. We find that the pass-through is fast, with about 23% of the crude oil price changes passed through to retail gasoline …

This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil … the real oil price and the real exchange rate. However, we find virtually no impact of the real oil price on the real …

-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 … commodity price variations has increased since the 2000s, especially for oil prices. …