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Activity Number: 267
Type: Contributed
Date/Time: Tuesday, August 4, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #303859
Title: Common Factors in Commodity Price Movements
Author(s): Joseph Gruber and Robert Vigfusson*+
Companies: Federal Reserve Board and Federal Reserve Board
Address: , , 20551,
Keywords: factor models ; commodity prices ; forecasting
Abstract:

The paper models commodity price movements using dynamic factor models. In particular, attention is given to discriminating between group-specific factors and factors that are common to all commodities. The resulting forecasts from the dynamic factor model are compared to other methods.

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