Laurent Ferrara

finance seminar

Laurent Ferrara

Banque de France
Common factors of commodity prices
Co-écrit avec
Domenico Giannone, Simona Delle Chiaie
Lieu

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Date(s)
Mardi 21 mars 2017| 14:30
Contact(s)

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

Résumé

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.

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