Can inflation expectations be measured using commodity futures prices?

Rasheed Saleuddin and D'Maris Coffman ()

Structural Change and Economic Dynamics, 2018, vol. 45, issue C, 37-48

Abstract: This paper reexamines the use of US commodity futures price data to show that the US deflation of 1929–1932 was at best no more than partially anticipated by economic actors. By focusing on the expected real interest rate, previous studies provide some empirical support for explanations of the Great Depression that are not exclusively monetary in nature. However, these studies did not consider the context and the market microstructures from which the data was sourced. Our analysis suggests that it is more likely that agricultural commodity markets adjusted to deflationary expectations by the end of 1930. Evidence from commodities futures markets, such as the Chicago Board of Trade, therefore should not be used to critique the Keynesian challenge to the classical monetarist explanation of the Great Depression.

Keywords: Commodity futures; Inflation expectations; Normal backwardation (search for similar items in EconPapers)
JEL-codes: E3 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Working Paper: CAN INFLATION EXPECTATIONS BE MEASURED USING COMMODITY FUTURES PRICES? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:streco:v:45:y:2018:i:c:p:37-48

DOI: 10.1016/j.strueco.2018.01.002

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