Forecasting commodity price indexes using macroeconomic and financial predictors
Using a long sample of commodity spot price indexes over the period 1947–2010, we examine the out-of-sample predictability of commodity prices by means of macroeconomic and financial variables. Commodity currencies are found to have some predictive power at short (monthly and quarterly) forecast hor...
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| Veröffentlicht in: | International journal of forecasting 2014-07, Vol.30 (3), p.825-843 |
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| container_title | International journal of forecasting |
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| creator | Gargano, Antonio Timmermann, Allan |
| description | Using a long sample of commodity spot price indexes over the period 1947–2010, we examine the out-of-sample predictability of commodity prices by means of macroeconomic and financial variables. Commodity currencies are found to have some predictive power at short (monthly and quarterly) forecast horizons, while growth in industrial production and the investment–capital ratio have some predictive power at longer (yearly) horizons. Commodity price predictability is strongest when based on multivariate approaches that account for parameter estimation error. Commodity price predictability varies substantially across economic states, being strongest during economic recessions. |
| doi_str_mv | 10.1016/j.ijforecast.2013.09.003 |
| format | Article |
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| subjects | Commodities Commodity prices Economic forecasting Industrial production Macroeconomics Out-of-sample forecast performance Parameter estimation Predictability of commodity spot prices Price indexes Recessions Recessions and expansions Studies |
| title | Forecasting commodity price indexes using macroeconomic and financial predictors |
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