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Garratt, Anthony and Petrella, Ivan (2022) Commodity prices and inflation risk. Journal of Applied Econometrics, 37 (2). pp. 392-414. doi:10.1002/jae.2868 ISSN 0883-7252.
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WRAP-Commodity-prices-inflation-risk-Petrella-2020.pdf - Accepted Version - Requires a PDF viewer. Download (2332Kb) | Preview |
Official URL: https://doi.org/10.1002/jae.2868
Abstract
This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in-sample and out-of-sample predictive ability from commodity prices and convenience yields to inflation, establishing clear point and density forecast performance gains when incorporating disaggregated commodities price information. The resulting forecast densities are used to calculate the (ex-ante) risk of inflation breaching defined thresholds that broadly characterise periods of high and low inflation. We find that information in commodity prices significantly enhances our ability to pick out tail inflation events and to characterise the level of risks associated with periods of high volatility in commodity prices.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
| Library of Congress Subject Headings (LCSH): | Inflation risk , Commodity-backed bonds -- Prices -- Econometric models, Prices , Primary commodities -- Prices -- Econometric models, Spot prices -- Econometric models, Probabilities | ||||||||
| Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
| Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
| ISSN: | 0883-7252 | ||||||||
| Official Date: | March 2022 | ||||||||
| Dates: |
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| Volume: | 37 | ||||||||
| Number: | 2 | ||||||||
| Page Range: | pp. 392-414 | ||||||||
| DOI: | 10.1002/jae.2868 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article: Garratt, A, Petrella, I. COMMODITY PRICES AND INFLATION RISK. J Appl Econ. 2021. Accepted Author Manuscript., which has been published in final form at https://doi.org/10.1002/jae.2868 This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions." | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 23 September 2020 | ||||||||
| Date of first compliant Open Access: | 2 August 2023 | ||||||||
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| Open Access Version: |
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