In this post, we consider different strategies to forecast near-term commodity price inflation, but find that no particular approach is systematically more accurate and robust. Published on Liberty Street Economics, June 27 2011.
In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, including factor-augmented models, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices. Published in NBER East Asia Seminar on Economics: Commodity Prices and Markets, 2011.