Q02 - Global Commodity Crises

• Global Commodity Markets and Rebalancing in China: The Case of Copper

  Staff Discussion Paper 2019-3 Jeannine Bailliu, Doga Bilgin, Kun Mo, Kurt Niquidet, Benjamin Sawatzky

  Given that China accounts for about half of global copper consumption, it is reasonable to expect that any significant change in Chinese copper consumption will have an impact on the global market.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): O, O1, O13, O14, Q, Q0, Q02

• A Dynamic Factor Model for Commodity Prices

  Staff Analytical Note 2017-12 Doga Bilgin, Reinhard Ellwanger

  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.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Recent economic and financial developments JEL Code(s): C, C5, C51, Q, Q0, Q02