In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market perspective, which observes joint movements of commodity prices on exchanges. Thereby, the GVAR model disentangles single market from inter-market effects, while simultaneously accounting for the impact of macroeconomic factors. We apply the framework to the six industrial metals markets, reflecting their interdependencies via their co-production, co-consumption, or co-trading relation. In particular, the numerous significant spillover effects in the cross-commodity dimension underline the importance of jointly modeling commodity markets. While the strong co-movement between industrial metal prices is represented exceptionally well by our framework, the microeconomic supply and demand attributes of the commodities have significant impact, within and across markets, even on price variables, highlighting their relevance in modern commodity market models. Moreover, we detect global shocks, e.g., an increase in global demand, affect each commodity market to a similar extent.

在本研究中，我们开发了一个基于全球向量自回归（GVAR）模型的框架，以统一商品市场的两种观点，即特定商品、以单一市场为中心的方法，调查商品价格的微观和宏观经济驱动因素，以及市场视角，观察交易所商品价格的联合变动。因此，GVAR模型将单一市场与市场间效应分开，同时考虑了宏观经济因素的影响。我们将该框架应用于六个工业金属市场，通过共同生产、共同消费或共同贸易关系反映它们的相互依赖性。特别是，跨商品维度的众多显着溢出效应凸显了联合建模商品市场的重要性。虽然我们的框架很好地体现了工业金属价格之间的强烈联动，但商品的微观经济供需属性在市场内部和市场之间甚至对价格变量都具有重大影响，凸显了它们在现代商品市场模型中的相关性。此外，我们发现全球冲击，例如全球需求的增加，对每个商品市场的影响程度相似。