What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?
用动态因子模型将43种大宗商品回报分解为市场、行业和特质成分，发现2004年以来市场共同因子解释的回报波动显著增加，尤其对非易腐品影响最强。
Abstract This paper examines the relationship between 43 commodity returns using a dynamic factor model with time varying stochastic volatility. The dynamic factor model decomposes each commodity return into a common (market), sector‐specific and commodity‐specific component. It enables the variance attributed to each component to be estimated at each point in time. We find the return variation explained by the common factor has increased substantially for the recent period and is statistically significant for the vast majority of commodities since 2004 (at each point in time) This phenomenon is the strongest for non‐perishable products. We link the amount of variation explained by the common factor to economic variables.