The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both...
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INFORMATION
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2011/02/01
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Document de travail de recherche sur les politiques
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WPS5578
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1
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1
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2011/02/01
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Disclosed
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Primary commodity prices : co-movements, common factors and fundamentals
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commodity price
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