Saved in:
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV048341449 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220713s2013 xx d||| o|||| 00||| eng d | ||
| 020 | |a 9781484378144 |9 978-1-484-37814-4 | ||
| 024 | 7 | |a 10.5089/9781484378144.001 |2 doi | |
| 035 | |a (ZDB-1-IMF)76841041X | ||
| 035 | |a (OCoLC)867928192 | ||
| 035 | |a (DE-599)GBV76841041X | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-20 |a DE-824 |a DE-70 |a DE-155 |a DE-29 |a DE-22 |a DE-473 |a DE-1102 |a DE-703 |a DE-859 |a DE-706 |a DE-384 |a DE-860 |a DE-19 |a DE-739 |a DE-355 |a DE-Aug4 |a DE-1049 |a DE-12 |a DE-91 | ||
| 100 | 1 | |a Alquist, Ron |e Verfasser |0 (DE-588)132389843 |4 aut | |
| 245 | 1 | 0 | |a The comovement in commodity prices |b sources and implications |c Ron Alquist and Olivier Coibion |
| 264 | 1 | |a Washington, DC |b IMF |c 2013 | |
| 300 | |a 1 Online-Ressource (62 Seiten) |b graph. Darst | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a IMF working paper |v 13/140 | |
| 500 | |a Description based upon print version of record | ||
| 505 | 8 | |a 3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings | |
| 505 | 8 | |a Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil | |
| 505 | 8 | |a Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices | |
| 505 | 8 | |a Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices | |
| 505 | 8 | |a Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes | |
| 520 | 3 | |a We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations | |
| 538 | |a Systemvoraussetzungen: Acrobat Reader | ||
| 653 | 6 | |a Electronic books | |
| 700 | 1 | |a Coibion, Olivier |d 1977- |e Verfasser |0 (DE-588)129752525 |4 aut | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-1-IMF | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033720717 | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-20 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-824 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-70 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-155 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-29 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-22 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-473 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-1102 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-703 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-859 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-706 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-384 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-860 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-19 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-739 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-355 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-Aug4 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-1049 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-12 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |l DE-91 |p ZDB-1-IMF |x Verlag |3 Volltext | |
Record in the Search Index
| DE-BY-TUM_katkey | 2664423 |
|---|---|
| DE-BY-UBR_katkey | 6577081 |
| _version_ | 1835099871889063936 |
| any_adam_object | |
| author | Alquist, Ron Coibion, Olivier 1977- |
| author_GND | (DE-588)132389843 (DE-588)129752525 |
| author_facet | Alquist, Ron Coibion, Olivier 1977- |
| author_role | aut aut |
| author_sort | Alquist, Ron |
| author_variant | r a ra o c oc |
| building | Verbundindex |
| bvnumber | BV048341449 |
| collection | ZDB-1-IMF |
| contents | 3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes |
| ctrlnum | (ZDB-1-IMF)76841041X (OCoLC)867928192 (DE-599)GBV76841041X |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>08039nam a2200673 cb4500</leader><controlfield tag="001">BV048341449</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220713s2013 xx d||| o|||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781484378144</subfield><subfield code="9">978-1-484-37814-4</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.5089/9781484378144.001</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-1-IMF)76841041X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)867928192</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV76841041X</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-20</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-155</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-22</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-860</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-91</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Alquist, Ron</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)132389843</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The comovement in commodity prices</subfield><subfield code="b">sources and implications</subfield><subfield code="c">Ron Alquist and Olivier Coibion</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Washington, DC</subfield><subfield code="b">IMF</subfield><subfield code="c">2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (62 Seiten)</subfield><subfield code="b">graph. Darst</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">IMF working paper</subfield><subfield code="v">13/140</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Description based upon print version of record</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations</subfield></datafield><datafield tag="538" ind1=" " ind2=" "><subfield code="a">Systemvoraussetzungen: Acrobat Reader</subfield></datafield><datafield tag="653" ind1=" " ind2="6"><subfield code="a">Electronic books</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Coibion, Olivier</subfield><subfield code="d">1977-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129752525</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-IMF</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033720717</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-20</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-824</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-70</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-155</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-29</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-22</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-473</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-1102</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-703</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-859</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-706</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-384</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-860</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-19</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-739</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-355</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-Aug4</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-1049</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-12</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml</subfield><subfield code="l">DE-91</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048341449 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T19:42:00Z |
| institution | BVB |
| isbn | 9781484378144 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033720717 |
| oclc_num | 867928192 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| owner_facet | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (62 Seiten) graph. Darst |
| psigel | ZDB-1-IMF |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | IMF |
| record_format | marc |
| series2 | IMF working paper |
| spellingShingle | Alquist, Ron Coibion, Olivier 1977- The comovement in commodity prices sources and implications 3.3 Identification of the Rotation Matrix and Structural Factors3.4 Robustness Analysis of the Estimated Indirect Aggregate Common Factor; 3.5 The Contributions of the Factors to Historical Commodity Prices and Global Activity; 4 Storage; 5 Forecasting Applications; 5.1 Forecasting Model; 5.2 Forecasting Results; 6 Conclusion; References; Tables; Table 1: The Production and Usage of Commodities; Table 2: Contribution of common factors to commodity prices; Table 3: GMM Estimates of Rotation Matrix; Table 4: Rotated Commodity-Specific Factor Loadings Appendix Table 5: Summary of Recursive Forecast Accuracy Diagnostics for the Real Price of Oil Cover; The Comovement in Commodity Prices: Sources and Implications; 1 Introduction; 2 The Sources of Commodity Price Comovement: Theory; 2.1 Model of commodity prices; The Household; The Primary Commodity-Production Sector; The Intermediate Commodity; The Final Goods Sector; The Linearized Model; Equilibrium Dynamics; 2.2 Comovement in Commodity Prices; 2.3 The Factor Structure in Commodity Prices; 2.4 Recovering the Structural Factors; 3 The Sources of Commodity Price Comovement: Empirical Evidence; 3.1 Data; 3.2 Reduced Form Common Factors in Commodity Prices Figure 6: Effects of Monetary Policy Shocks on the Indirect Aggregate Common FactorAppendix Table 1: Notes on Commodity Price Data; Appendix Table 2: Contribution of Common Factors to Individual Commodity Prices; Appendix Figure 1: Price Observations Dropped; Appendix Figure 2: Real Commodity Prices and Imputed Values; Appendix Figure 3: Indirect Aggregate Common Factor from Subset of Commodities with "No First Order Speculation"; Appendix Table 3: Recursive Forecast Error Diagnostics for Real Commodity Prices; Appendix Table 4: Recursive Forecast Error Diagnostics for Real Commodity Prices Table 5: Testing the null of zero net purchases by storage sectorTable 6: Summary of Recursive Forecast Accuracy Diagnostics for Real Commodity Prices; Figures; Figure 1: Comparative Statics and Commodity Comovement across Shocks; Figure 2: Indirect Aggregate Common Factor in Commodity Prices; Figure 3: Robustness of Indirect Aggregate Common Factor using Subsets of Commodities; Figure 4: Additional Robustness Checks of Indirect Aggregate Common Factor; Figure 5: The Contribution of "Indirect" and "Direct" Factors to Commodity Price Changes |
| title | The comovement in commodity prices sources and implications |
| title_auth | The comovement in commodity prices sources and implications |
| title_exact_search | The comovement in commodity prices sources and implications |
| title_full | The comovement in commodity prices sources and implications Ron Alquist and Olivier Coibion |
| title_fullStr | The comovement in commodity prices sources and implications Ron Alquist and Olivier Coibion |
| title_full_unstemmed | The comovement in commodity prices sources and implications Ron Alquist and Olivier Coibion |
| title_short | The comovement in commodity prices |
| title_sort | the comovement in commodity prices sources and implications |
| title_sub | sources and implications |
| url | http://elibrary.imf.org/view/IMF001/20553-9781484378144/20553-9781484378144/20553-9781484378144.xml |
| work_keys_str_mv | AT alquistron thecomovementincommoditypricessourcesandimplications AT coibionolivier thecomovementincommoditypricessourcesandimplications |