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Examining The Crb Index As An Indicator For U.S. Inflation

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Author Info
Acharya, Ram N.
Gentle, Paul F.
Mishra, Ashok K.
Paudel, Krishna P.

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Abstract

This paper analyzes historical movements in the commodity futures market and the relationship to inflation. Specifically, the relationship between the Commodity Research Bureau (CRB) Index and United States inflation is investigated. It is said that the relationship between the CRB index and the U.S. inflation rate was greater in the some periods than in another period. Then in recent times the CRB Index has proven to be a reliable early indicator of inflation. As the composition of the United States economy changes, the Commodity Research Bureau must make adjustments in order to provide a viable service.

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Publisher Info
Paper provided by Southern Agricultural Economics Association in its series 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas with number 6760.

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Date of creation: 2008
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Handle: RePEc:ags:saeaed:6760

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Related research
Keywords: CRB index; Commodities Research Bureau; inflation; Vector Autoregression; Marketing; Public Economics; E00; E30;

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  1. Ehrhardt, Michael C & Tucker, Alan L, 1990. "Pricing CRB Futures Contracts," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 13(1), pages 7-14, Spring.
  2. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-89, December. [Downloadable!] (restricted)
    Other versions:
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  4. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December. [Downloadable!] (restricted)
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  6. Adams, F. Gerard & Ichino, Yasukazu, 1995. "Commodity prices and inflation: A forward-looking price model," Journal of Policy Modeling, Elsevier, vol. 17(4), pages 397-426, August. [Downloadable!] (restricted)
  7. Mahdavi, Saeid & Zhou, Su, 1997. "Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance," Journal of Economics and Business, Elsevier, vol. 49(5), pages 475-489. [Downloadable!] (restricted)
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  10. Gamber, Edward N. & Joutz, Frederick L., 1993. "An application of estimating structural vector autoregression models with long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 723-745. [Downloadable!] (restricted)
  11. Fred Furlong & Robert Ingenito, 1996. "Commodity prices and inflation," Economic Review, Federal Reserve Bank of San Francisco, pages 27-47. [Downloadable!]
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  12. Moosa, Imad A., 1998. "Are Commodity Prices a Leading Indicator of Inflation?," Journal of Policy Modeling, Elsevier, vol. 20(2), pages 201-212, April. [Downloadable!] (restricted)
  13. Bordo, Michael David, 1980. "The Effects of Monetary Change on Relative Commodity Prices and the Role of Long-Term Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1088-1109, December. [Downloadable!] (restricted)
  14. Francesca Eugeni & Charles Evans & Steven Strongin, 1993. "Commodity-based indicators: separating the wheat from the chaff," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Nov. [Downloadable!]
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