In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each price series into global (or common) component, block-specific components, purely idiosyncratic component. find that the bulk fluctuations in prices are well summarized by single factor. This factor is closely related to economic activity and, since...

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity mar...

This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence in-sample and out-of-sample predictive ability from prices convenience yields to inflation, establishing clear point density forecast performance gains incorporating disaggregated commodities information. The resulting densities are used ca...

Commodity prices are one of the most important drivers output fluctuations in developing countries. We show that a major channel through which commodity price movements can affect real economy is their effect on banks' balance sheets and financial stability. Our analysis finds volatility significant predictor banking crises sample 60 low-income countries (LICs). In contrast to recent findings f...