This paper extends the topical literature on the co-movement and determinants of primary commodity prices, by considering heterogeneity in commodities and time variation in the impact of fundamentals. We account for heterogeneity by employing a dynamic hierarchical factor model, which decomposes commodities into global and sectoral factors. Using a time varying parameter factor augmented VAR model, we shock global and sector-specific factors over time. We present plausible impulse responses to demand shocks, real interest rate shocks, and to elevated risks during the global financial crisis. We also identify that materials, food and metals respond heterogeneously to these shocks.

中文翻译：

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商品价格联动：基本面的异质性和时变影响

本文通过考虑商品的异质性和基本面影响的时间变化，扩展了关于初级商品价格联动和决定因素的专题文献。我们通过采用动态分层因素模型来解释异质性，该模型将商品分解为全球和部门因素。使用随时间变化的参数因子增强 VAR 模型，我们会随着时间的推移影响全球和特定行业的因素。我们提出了对需求冲击、实际利率冲击和全球金融危机期间风险升高的合理冲动反应。我们还发现材料、食物和金属对这些冲击的反应各不相同。