Discussion on Forecasting Commodity Price Indexes Using Macroeconomic and Financial Predictors

Abstract

Commodity prices have exhibited large swings over the past decade. For example, between the end of 2006 and the collapse of Lehman Brothers in September 2008, the price of crude oil more than doubled and food prices rose by about 50%. These gains were eradicated soon after the default of Lehman Brothers, as global trade collapsed, and the resulting plunge in commodity prices exacerbated the disinflation risks that were building up during the Great Recession. The latter exemplifies why it is of such importance to central banks, as well as to other agents in the economy, to get sensible forecasts of future commodity price movements, as commodity prices swings induce similar swings in headline inflation, thus blurring the central bank’s assessment of the inflation outlook.

Citation

Groen, J. J. J. (2014), “Discussion on Forecasting Commodity Price Indexes Using Macroeconomic and Financial Predictors” International Journal of Forecasting: Vol. 30, pages 844–846.