Q02 - Global Commodity Crises - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:56:47+00:00A Dynamic Factor Model for Commodity Prices
https://www.bankofcanada.ca/2017/09/staff-analytical-note-2017-12/
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component.2017-09-25T17:44:19+00:00enA Dynamic Factor Model for Commodity Prices2017-09-25