This study examines the inflation-hedging ability of commodity futures. Applying a Markov-switching vector error correction model to a sample of commodity futures that cover the period between January 1983 and December 2017, we find that total commodity futures fail to provide a hedge against...

In order to tackle the non-availability of inflation futures data, we introduce the futures on the CPI proxy (FCP). Compared to over-the-counter inflation-linked derivatives, the FCP is a more accessible tool for inflation forecasting. The time series of the FCP chain is analysed by a two-factor...

The very fact that utility maximization in real business cycle and New Keynesian models is intertemporal suggests the possibility of a Fisherian intertemporal futures market, which is not state-contingent. Ex-ante speaking, the addition of a futures market does not result in any difference, but...

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...

This article analyzes the immediate reaction of a representative sample of commodity prices and two T-bill yields to the unanticipated components of thirteen macroeconomic announcements. Surprises in the monetary variables cause the majority of the significant commodity price responses; while...