Commodity Prices, Convenience Yields, and Inflation
AbstractThis paper provides evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for inflation even after controlling for unemployment gap and oil prices. The results hold up in out-of-sample forecasts, across forecast horizons, and across G7 countries. The convenience yields also explain commodity prices and can be seen as informational variables about future economic conditions as conveyed by the futures markets. A bootstrap procedure for conducting inference when the principal components are used as regressors is also proposed. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics and Statistics.
Volume (Year): 95 (2013)
Issue (Month): 1 (March)
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Web page: http://mitpress.mit.edu/journals/
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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- Yannick Le Pen & Benoît Sévi, 2013.
"Futures Trading and the Excess Comovement of Commodity Prices,"
AMSE Working Papers
1301, Aix-Marseille School of Economics, Marseille, France, revised Jan 2013.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 19, Department of Research, Ipag Business School.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
- Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
- Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
- Ron Alquist & Olivier Coibion, 2013. "The Comovement in Commodity Prices: Sources and Implications," IMF Working Papers 13/140, International Monetary Fund.
- repec:ner:dauphi:urn:hdl:123456789/6800 is not listed on IDEAS
- repec:ner:dauphi:urn:hdl:123456789/11382 is not listed on IDEAS
- Sílvia Gonçalves & Benoit Perron, 2012. "Bootstrapping factor-augmented regression models," CIRANO Working Papers 2012s-12, CIRANO.
- Gutierrez, Luciano, 2011. "Looking for Rational Bubbles in Agricultural Commodity Markets," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 120377, European Association of Agricultural Economists.
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