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)...

This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as...

Investors' searches for successful forecasting models cause the data generating process for financial returns to change over time, which means that individual return forecasting models can, at best, hope to uncover evidence of 'local' predictability. We illustrate this point on a suite of...