Can inflation expectations be measured using commodity futures prices?
نویسندگان
چکیده
منابع مشابه
Commodity Prices, Convenience Yields, and Inflation
This 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 commod...
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ژورنال
عنوان ژورنال: Structural Change and Economic Dynamics
سال: 2018
ISSN: 0954-349X
DOI: 10.1016/j.strueco.2018.01.002