Commodity prices are often thought to have in‡ationary consequences but formal statistical evidence in support of this perception has been far from robust. In this paper, we provide evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for in‡ation even after controlling for unemployment ...

This paper provides evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for inflation even after controlling for unemployment gap and oil prices. The results hold up in out-of-sample forecasts, across forecast horizons, and across G7 countries. The convenience yields also explain commod...

As the energy markets continue to evolve, valuation of energy-linked assets has been one of the focal topics of recent finance research. One of the most popular choices for describing asset movements is a class of the so-called ”convenience yield models”. Such models introduce a new unobserved quantity related to physical ownership of the asset. In turn, convenience yield models can be broadly ...