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    Commodity prices and the CPI: Cointegration, information, and signal extraction

    Pecchenino, Rowena A. (1992) Commodity prices and the CPI: Cointegration, information, and signal extraction. International Journal of Forecasting, 7 (4). pp. 493-500. ISSN 0169-2070

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    This paper provides theoretical underpinnings for the commodity price/aggregate price relationship, discusses the conditions under which commodity prices are useful information variables for monetary policy, and provides empirical results which suggest why commodity prices have not been very useful for forecasting.

    Item Type: Article
    Keywords: Commodity price indices; Inflation forecasts; Cointegration;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 12808
    Identification Number:
    Depositing User: Prof. Rowena Pecchenino
    Date Deposited: 22 Apr 2020 11:21
    Journal or Publication Title: International Journal of Forecasting
    Publisher: Elsevier
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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