Commodity Prices, Convenience Yields, and Inflation
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...
متن کاملCommodity Prices, Convenience Yields and Ination
Commodity prices are often thought to have inationary consequences but formal statistical evidence in support of this perception has been far from robust. In this paper, we provide evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for ination even after controlling for unemployment ...
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This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on convenience-claim investments. The analysis is conducted in two steps. First, monthly convenience yields are extracted from a broad sample of commodity futures by using a three-factor model. Second, a multi-factor asset pricing model with conditional betas is estimated to determine risk premiums emb...
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In this paper we propose an endogenous growth model of commodity-rich economies in which: (i) long-run (steady-state) growth is endogenous and yet independent of commodity prices; (ii) commodity prices affect short-run growth through transitional dynamics; and (iii) the status of net commodity importer/exporter is endogenous. We argue that these predictions are consistent with historical eviden...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2013
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00242