 Factors of predictive power for metal commoditiesPatric Papenfuß, Amelie Schischke and Andreas Rathgeber The North American Journal of Economics and Finance, 2025, vol. 76, issue C Abstract: There are numerous forecasting studies on commodity prices using various micro- and macroeconomic indicator sets. However, commodity markets have undergone a substantial transformation in the last 20 years, with periods of the financialization, and possibly also a de-financialization, which should also be reflected in the commodity price forecasts. To identify the changes in price predictors and determinants, we individually forecast 24 metal prices one-month ahead in the pre- and post financial crisis period, where we identify the autoregressive price components having a large impact across all commodities and periods. However, interest rates are of larger impact in the first sub-sample, whereas commodity- and financial market indices are dominating in the second sub-sample. Further, we perform an out-of-sample forecast over the entire timespan, where we are able to significantly outperform the predefined benchmark forecast models, a random-walk and a random-walk with drift, in 12 of the 24 cases. Keywords: Commodity price forecasts; Metal price predictors; Commodity-specific microeconomics; Out-of-sample forecasts; Predictor selection (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002341 DOI: 10.1016/j.najef.2024.102309 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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