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Can Inflation Expectations Be Measured Using Commodity Futures Prices?

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Abstract

This paper reexamines the use of US commodity futures price data to show that the US deflation of 1929 to 1932 was at best no more than partially anticipated by economic actors. By focusing on the expected real interest rate, these studies provide some empirical support for explanations of the Great Depression that are not exclusively monetary in nature. However, these studies did not consider the context and the market microstructures from which the data was sourced. Our analysis suggests that it is more likely that agricultural commodity markets fully adjusted to deflationary expectations by the end of 1930. Commodities futures market evidence thus should not be used to critique the Keynesian challenge to the classical monetarist explanation of the Great Depression.

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  • Rasheed Saleuddin, 2014. "Can Inflation Expectations Be Measured Using Commodity Futures Prices?," Working Papers 20, Department of Economic and Social History at the University of Cambridge.
    • Handle: RePEc:cmh:wpaper:20
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    More about this item

    Keywords

    commodity futures; Keynes; great depression; inflation;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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