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Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market

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Hamilton, James D

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Abstract

Futures prices were well above spot prices for most commodities during most of the Great Depression; evidently the spectacular declines in agricultural prices caught many people by surprise. Based on the historical correlations between commodity prices and consumer prices, commodity markets anticipated stable consumer prices during the first year of the Great Depression. The dramatic drop in nominal Treasury bill yields, thus, should be read as a drop in ex ante real rates. Later in the Great Depression, markets anticipated deflation, but not as severe as actually occurred. Copyright 1992 by American Economic Association.

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Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 82 (1992)
Issue (Month): 1 (March)
Pages: 157-78
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Handle: RePEc:aea:aecrev:v:82:y:1992:i:1:p:157-78

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  2. Gauti B. Eggertsson, 2005. "Great expectations and the end of the depression," Staff Reports 234, Federal Reserve Bank of New York. [Downloadable!]
  3. Randall E. Parker & Phillip Rothman & Original: August 2000. This version: June 2003., . "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods," Working Papers 0302, East Carolina University, Department of Economics. [Downloadable!]
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  4. Ritschl, Albrecht & Wolf, Nikolaus, 2003. "Endogeneity of Currency Areas and Trade Blocs: Evidence from the Inter-war Period," CEPR Discussion Papers 4112, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  6. Jakob B. Madsen, 2003. "The Equity Risk Premium and the Required Share Returns in a Tobin’s q Model," EPRU Working Paper Series 03-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
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  11. Randall E. Parker & James S. Fackler, . "Was Debt Deflation Operative during the Great Depression?: A Note," Working Papers 0102, East Carolina University, Department of Economics. [Downloadable!]
  12. Eugene N. White & John Landon-Lane & Adam Klug, 2002. "How Could Everyone Have Been So Wrong? Forecasting The Great Depression With The Railroads," Departmental Working Papers 200209, Rutgers University, Department of Economics. [Downloadable!]
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  14. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand. [Downloadable!]
  15. Ben S. Bernanke, 1994. "The Macroeconomics of the Great Depression: A Comparative Approach," NBER Working Papers 4814, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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