Can commodity futures risk factors predict economic growth?

Cited 2 time in webofscience Cited 0 time in scopus
  • Hit : 126
  • Download : 0
This paper examines whether commodity futures risk factors can predict future economic growth. We test risk factors capturing various spot or term premia and find that only three factors capturing term premia on the basis-momentum, basis, and change in slope are robust predictors for future economic growth, especially for long horizons. Our findings highlight the importance of the term premia, rather than the spot premia on which the literature has mainly focused. Moreover, we find that possible explanations for predictability of commodity factors-the intertemporal asset pricing model and information diffusion explanation-are all inconsistent with our empirical results.
Publisher
WILEY
Issue Date
2020-12
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.40, no.12, pp.1825 - 1860

ISSN
0270-7314
DOI
10.1002/fut.22155
URI
http://hdl.handle.net/10203/279570
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 2 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0