Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals
通过动态分层因子模型和时变参数因子增广VAR模型，研究大宗商品价格联动的异质性及基本面冲击的时变影响，发现农业原材料、食品和金属对需求、利率和金融危机冲击的反应不同。
This paper extends the topical literature on the co-movement and determinants of primary commodity prices, by considering heterogeneity in commodities and time variation in the impact of fundamentals. We account for heterogeneity by employing a dynamic hierarchical factor model, which decomposes commodities into global and sectoral factors. Using a time-varying parameter factor augmented VAR model, we shock global and sector-specific factors over time. We present plausible impulse responses to demand shocks, real interest rate shocks and to elevated risks during the global financial crisis. We also identify that agricultural raw materials, food and metals respond heterogeneously to these shocks.