Gargano, Antonio; Timmermann, Allan - In: International Journal of Forecasting 30 (2014) 3, pp. 825-843
Using a long sample of commodity spot price indexes over the period 1947–2010, we examine the out-of-sample predictability of commodity prices by means of macroeconomic and financial variables. Commodity currencies are found to have some predictive power at short (monthly and quarterly)...