Eric Girardin: eric.girardin[at]univ-amu.fr
Christelle Lecourt: christelle.lecourt[at]univ-amu.fr
Jean-François Carpantier: jean-francois.carpantier[at]univ-amu.fr
In this paper, we extract common factors from a large cross-section of commodity prices. We find that the bulk of the fluctuations in commodity prices is well summarised by a single global factor. This global factor is closely related to fluctuations of global economic activity and its importance in explaining commodity price variations has increased since the 2000s, especially for oil prices.