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Commodity-Price Comovement and Global Economic Activity / Ron Alquist, Saroj Bhattarai, Olivier Coibion.
- Format:
- Book
- Author/Creator:
- Alquist, Ron.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20003.
- NBER working paper series no. w20003
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- Guided by a macroeconomic model in which commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide the factors with an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.
- Notes:
- Print version record
- March 2014.
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