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

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

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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File URL: http://purl.umn.edu/6760
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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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  1. Fred Furlong, 1989. "Commodity prices and inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun16.
  2. Harry Bloch & A. Michael Dockery & David Sapsford, 2006. "Commodity Prices and the Dynamics of Inflation in Commodity-Exporting Nations: Evidence from Australia and Canada," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S97-S109, 09.
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  7. Hafer, R. W. & Sheehan, Richard G., 1989. "The sensitivity of VAR forecasts to alternative lag structures," International Journal of Forecasting, Elsevier, vol. 5(3), pages 399-408.
  8. 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.
  9. Michael C. Ehrhardt & Alan L. Tucker, 1990. "Pricing Crb Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(1), pages 7-14, 03.
  10. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
  11. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  12. Donald Lien & Xiangdong Luo, 1993. "A theoretical comparison of composite index futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 821-836, October.
  13. Roy H. Webb, 2004. "Which price index should a central bank employ?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 63-76.
  14. Francesca Eugeni & Joel Krueger, 1994. "The ups and downs of commodity price indexes," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Dec.
  15. 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.
  16. Moosa, Imad A., 1998. "Are Commodity Prices a Leading Indicator of Inflation?," Journal of Policy Modeling, Elsevier, vol. 20(2), pages 201-212, April.
  17. 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.
  18. 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.
  19. 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.
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