Simona Delle Chiaie, Laurent Ferrara, Domenico Giannone, "Common Factors of Commodity Prices", Journal of
Applied Econometrics, forthcoming. 

The main source of our data is the IMF Primary commodity price dataset:
see https://www.imf.org/external/np/res/commod/index.aspx

(a) data.csv: dataset used to estimate the global factor in commodity prices
	(1) data - monthly time series of 52 international commodity prices and 10 indices of commodity prices

(b) Additional data used in the empirical analysis can be found in the file additional_data.csv:
    (1) Kilian index of economic activity (see Kilian 2019) downloaded from https://sites.google.com/site/lkilian2019/research/data-sets 
	(2) Index of world industrial production (see Baumeister, C. and J.D. Hamilton 2019) downloaded from https://econweb.ucsd.edu/~jhamilto/software.html

The code for this paper is written in MATLAB and can be found in DFG-programs.zip 

The Main_est.m file sets up the model and estimates global and block factors.
 
The Hist_dec.m file computes the historical decomposition of commodity prices as in the paper. 

The following auxiliary functions and files are called up by the files above: 

EM_DFM_SS_block_idioQARMA_restrMQ.m (EM algorithm)
runKF.m (Kalman filter)
remNaNs_spline.m (missing values)

These auxiliary functions are taken from "Nowcasting", 2010, (by Marta Banbura, Domenico Giannone and Lucrezia Reichlin), 
in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting.

Data files in the replication codes are in .xlsx format.

Please address any questions to:

Simona Delle Chiaie
European Central Bank
Sonnemannstrasse 20
60314 Frankfurt am Main 
Germany

simona.dellechiaie@ecb.europa.eu