Forecasting Commodity Prices Using the Term Structure

The aim of this study is to test the ability yield curve on US government bonds forecast future evolution in prices commodities often used as raw materials. We consider monthly nine for more than 30 years. Our findings, confirmed by several parametric and non-parametric tests, are robust indicate that performance changes over time. Specifically, between 1986 early 2000s was quite successful forecasting commodity prices, but success diminished period following. One possible explanation outcome increased flow capital into market resulting stronger correlations with equity markets a breakdown obvious relationship business cycle. findings important asset pricing, traders policy makers.