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...