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IMF Commodity Prices

by QuantShare, 3618 days ago
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This item downloads historical data for the IMF (International Monetary Fund) commodity prices. The IMF commodity prices are prepared by the Energy and Commodities surveillance unit of the research department. The data is available on the IMF website (www.imf.org) and it is updated once a month.

The commodity prices are constructed using weights based on 2002-2004 world trade data and they use 2005 as a base year.

This downloader gets all the historical data with one click, the symbols are automatically added and the data (spans from 1980 to present) is stored in the close field of your quotes database.

The IMF commodity time-series dates saved in your database are different from those reported in the IMF website. In fact, in the Pre-Script I have created a code that adds one month and seven days to the original date. This is because, if you want to use these series in backtesting or simulations, the new date reflects the date when the IMF commodity prices are actually released.
As an example, for the symbol POILAPSP, which corresponds to the Oil (Average of U.K. Brent, Dubai and West Texas Intermediate):
The last date in the time-series is December 2009. However, this number was actually released only on 7 January 2010. The '7 January 2010' date will be associated with this number. Using the original date in simulations and backtesting could lead to misleading results.

If you want to get the original date instead of the modified one, you can do this by updating the Pre-Script (Select the Download Item, click on Update, click on Parser, click on Next and finally click on Pre-Script). You just need to remove the lines between the "//////////////// Remove these lines if you want to set the date as it is reported" and "////////////////".

You can download a list of symbols for these IMF commodity series at the following location: IMF Commodity Symbols
The advantage of using this list of symbols is that it contains the description of each series.


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Type: Download Script

Object ID: 328


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