Beck, K., Filippidis, M., Jackson, K. and Magkonis, G. 2026. Commodity Prices Redux: A Global Factor Story. Journal of International Money and Finance. 165 103588. https://doi.org/10.1016/j.jimonfin.2026.103588
| Title | Commodity Prices Redux: A Global Factor Story |
|---|---|
| Type | Journal article |
| Authors | Beck, K., Filippidis, M., Jackson, K. and Magkonis, G. |
| Abstract | In this study, we novelly employ a Bayesian Dynamic Factor Model (BDFM) and a Factor-Augmented Vector Autoregressive (FAVAR) model to investigate the relatively under-explored phenomenon of cross-commodity price synchronisation and the factors driving comovement in commodity prices. Our findings indicate that macroeconomic and financial factors are key determinants of world commodity prices, whereas uncertainty plays a comparatively minor role, accounting for less than 10% initially and remaining below 20% at longer horizons. At the level of commodity group prices, however, uncertainty becomes significantly more important, with its contribution exceeding one-third of the variance at longer horizons across all commodity groups. These results highlight a clear distinction between aggregate and disaggregated dynamics: global commodity prices are largely driven by macroeconomic and financial conditions, implying that policymakers retain meaningful scope to influence them, whereas commodity-group prices are more sensitive to shocks and uncertainty. |
| Keywords | Bayesian dynamic factor model |
| FAVAR | |
| global determinants | |
| financial market activity | |
| macroeconomic activity | |
| uncertainty | |
| Article number | 103588 |
| Journal | Journal of International Money and Finance |
| Journal citation | 165 |
| ISSN | 0261-5606 |
| 1873-0639 | |
| Year | 2026 |
| Publisher | Elsevier |
| Publisher's version | License CC BY 4.0 File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jimonfin.2026.103588 |
| Publication dates | |
| Published online | 25 Apr 2026 |
| Published in print | May 2026 |
| Funder | Polish National Science Centre |
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