英文文献:What Drives Commodity Prices?-是什么推动了大宗商品价格?
英文文献作者:Shu-Ling Chen,John D. Jackson,Hyeongwoo Kim,Pramesti Resiandini
英文文献摘要:
This paper examines common forces driving the prices of 51 highly tradable commodities. We demonstrate that highly persistent movements of these prices are mostly due to the first common component, which is closely related to the US nominal exchange rate. In particular, our simple factor-based model outperforms the random walk model in out-of-sample forecast for the US exchange rate. The second common factor and de-factored idiosyncratic components are consistent with stationarity, implying short-lived deviations from the equilibrium price dynamics. In concert, these results provide an intriguing resolution to the apparent inconsistency arising from stable markets with nonstationary prices.
本文考察了51种高贸易商品价格的共同驱动因素。我们证明,这些价格的高度持续的变动主要是由于第一个共同组成部分,它与美国名义汇率密切相关。特别是,我们基于简单因素的模型在对美国汇率的样本外预测方面优于随机游走模型。第二个共同因素和去因子的特质成分是一致的平稳性,意味着短期偏离均衡价格动态。同时,这些结果为稳定的市场与非平稳的价格所产生的明显不一致性提供了一个有趣的解决方案。