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How important are common factors in driving non-fuel commodity prices? : a dynamic factor analysis

Vansteenkiste, Isabel - 2009

This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...

Persistent link: https://www.econbiz.de/10003867082

Classifying and modeling nonlinearity in commodity prices using Incotemrs

Fahmy, Hany - 2021

This paper proposes a novel approach of classifying and modeling the nonlinear behavior of commodity prices using regime-switching models with exogenous transition variables. The approach rests on using the International Commercial Terms (Incoterms), also known as border prices, to classify...

Persistent link: https://www.econbiz.de/10013314600

How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis

Vansteenkiste, Isabel - 2009

Persistent link: https://www.econbiz.de/10011605118

El Nino and World Primary Commodity Prices : Warm Water or Hot Air?

Brunner, Allan D. - 2003

This paper examines the historical effects of El Nino on world prices and economic activity. Although the primary focus … is on world real non-oil primary commodity prices, the effects on G-7 consumer price inflation and GDP growth are also … measures. Finally, confidence intervals are constructed for all estimated effects of El Nino on world prices and economic …

Persistent link: https://www.econbiz.de/10014062074