Global vs sectoral factors and the impact of the financialization in commodity price changes
EntityUAM. Departamento de Análisis Económico: Economía Cuantitativa
10.1007/s11079-019-09564-4Open Economies Review 31.4 (2020): 859-879
ISSN0923-7992 (print); 1573-708X (online)
SubjectsCo-movement; Commodity prices; Dynamic factor models; Global factor; Out-of-sample forecast; Sectoral factors; Economía
Rights© 2020, The Author(s).
Esta obra está bajo una Licencia Creative Commons Atribución 4.0 Internacional.
Commodity prices influence price levels of a broad range of goods and, in the case of some developing economies, production and export activity. Therefore, information about future commodity inflation is useful for central banks, forward-looking policy-makers, and economic agents whose decisions depend on their expectations about it. After 2004, we have witnessed the so-called financialization of the commodity markets, which might induce greater communalities among commodity prices. This paper reports evidence on the relevance of the forecasting content of co-movement after 2004. With the use of large and small scale factor models we find that for the short run, in addition to dynamics, sectoral communality has relevant predictive content. For 12 months ahead, dynamics lose relevance while communality remains relevant.
Google Scholar:Poncela Blanco, Pilar - Senra, Eva - Sierra, Lya Paola
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