NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Jan Groen

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Working Papers

February 2010Commodity prices, commodity currencies, and global economic developments
with Paolo A. Pesenti: w15743
In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a large data set containing a variety of indicators of supply and demand conditions across major developed and developing countries. These factor-augmented models use either standard principal components or partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten alternative indices and sub-indices of spot prices for three different com...

Published: Commodity Prices, Commodity Currencies, and Global Economic Developments, Jan J. J. Groen, Paolo A. Pesenti. in Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, Ito and Rose. 2011

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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