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 ...

Article history: Received 24 August 2012 Received in revised form 7 September 2013 Accepted 9 September 2013 Available online 16 September 2013 We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the US economydirection; to do so, wemake use of amethod developed by Pesaran and Timmermann (2009). By illustrating an application of t...

Block factor methods o¤er an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors re‡ecting di¤erent blocks of variables (e.g. a price block, a housing block, a …nancial block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over-parameterized. Thus, it is desirable to use a methodo...

Government agencies and other national and international institutions are asked to perform forecasts over the medium term. In particular, the EU Stability and Growth Pact contains the obligation to formulate stability programmes over four years, covering a general economic outlook as well as the projected development of public fi nances. However, the current practice of performing medium-term e...

Central banks and other forecasters have become increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility — such as the Great Moderation and the more recent sharp rise in volatility associated with greater variation in energy prices and the deep global recession — pose significant challenges to density forecasting. Accordingly, th...