AbstractThe purpose of this article is to improve the empirical evidence on commodity prices in various dimensions. First, we attempt to identify the extent of comovements in 44 monthly nonenergy commodity price series in order to ascertain whether the increase in comovement is a recent term phenomenon. Second, we attempt to determine the role of uncertainty in determining comovements among nonenergy prices in the short run. We diagnose the overall comovement using a dynamic factor model estimated by principal components. A factor-augmented vector autoregressive approach is used to assess the relationship of fundamentals, financial and uncertainty variables with the comovement in commodity prices. We find a greater synchronization among raw materials since December 2003. Since that date, uncertainty has played an important role in determining short-run fluctuations in nonenergy raw material prices.Keywords: commodity pricescomovementfactor-augmented vector autoregressive modelsJEL Classification: E30F00 AcknowledgementsWe thank the participants of the 2013 Annual Meeting of the Association of Southern European Economic Theorists, ASSET and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), for their useful comments.FundingThe first author acknowledges the financial support from the Spanish Ministry of Economics and Competitively, contract grant ECO2012-32854. Support from the Pontificia Universidad Javeriana Cali to the third author is gratefully acknowledged.