Volatile and rising agricultural prices put significant strain on the global fight against poverty. An accurate reading of future food price movements can be an invaluable budgetary planning tool for various government agencies and food aid programs. Using the asset-pricing approach developed in...

We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward markets in...