Commodity Price Cycles
First published: 2023
Brief summary
World Bank working paper using a dynamic factor model on 39 commodity prices (1970-2019) to separate common global cyclical components from idiosyncratic disturbances, examining both the long-term commodity supercycle and shorter-term cycles within it.
Article
Commodity Price Cycles is a peer-reviewed working paper published by World Bank Policy Research Working Paper in 2023. It focuses on world Bank working paper using a dynamic factor model on 39 commodity prices (1970-2019) to separate common global cyclical components from idiosyncratic disturbances, examining both the long-term commodity supercycle and shorter-term cycles within it.
The data source is panel of 39 commodity prices, monthly 1970:01-2019:12. It also considers dynamic factor model separates common global/group cyclical factors from idiosyncratic price movements. The study references the 2000-2014 commodity supercycle. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.
The paper addresses these questions with a two-step approach employing a dynamic factor model to estimate common global and group components alongside idiosyncratic disturbances in a panel of 39 commodity prices from 1970 to 2019. The interpretation is strongest when it survives detrending, structural-break tests, changing market composition and out-of-sample validation.
For cycles researchers, the article brings together commodity price cycles, dynamic factor model, commodity supercycle, global price factors. It is relevant to commodity-cycle research because long waves, business-cycle components and structural breaks can overlap in price records.
Because it is a peer-reviewed working paper, the article is a strong starting point for discussion in the Commodities forum, although its conclusions should still be compared with later replications and updated datasets.
Source details and credits
- Source / publisher: World Bank Policy Research Working Paper
- Source type: Peer-reviewed working paper
- URL type: PDF
- Credits: World Bank Policy Research Working Paper
- URL: