全球智库信息集成服务系统(G2TT): Commodity prices, commodity currencies, and global economic developments

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15743
来源ID	Working Paper 15743
	Commodity prices, commodity currencies, and global economic developments
	Jan J. J. Groen; Paolo A. Pesenti
发表日期	2010-02-25
出版年	2010
语种	英语
摘要	In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a large data set containing a variety of indicators of supply and demand conditions across major developed and developing countries. These factor-augmented models use either standard principal components or partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten alternative indices and sub-indices of spot prices for three different commodity classes across different periods. We find that the exchange rate-based model and especially the PLS factor-augmented model are more prone to outperform the naive statistical benchmarks. However, across our range of commodity price indices we are not able to generate out-of-sample forecasts that, on average, are systematically more accurate than predictions based on a random walk or autoregressive specifications.
主题	Econometrics ; Estimation Methods ; International Economics ; International Macroeconomics
URL	https://www.nber.org/papers/w15743
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/573443
推荐引用方式 GB/T 7714	Jan J. J. Groen,Paolo A. Pesenti. Commodity prices, commodity currencies, and global economic developments. 2010.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w15743.pdf（224KB）	智库出版物		限制开放	CC BY-NC-SA	浏览