商品期货有助于预测通货膨胀率吗

Are China’s Commodity Futures Conductive to Forecast Inflation Rates?

本文通过对我国22种商品期货提取隐含的便利收益率时间序列,发现商品期货在样本内和样本外可以显著预测未来通货膨胀率,在控制了利率、货币增速影响后,这一结果仍然成立。进一步,采用南华商品期货综合指数、商品期货各品种指数、商品期货大类指数,以及美国商品研究局商品期货指数对通货膨胀率进行了样本外预测,结果表明这些指数对于预测我国通货膨胀率效果仍然显著。基于商品期货价格的预测模型都优于本文的基准模型和朗润预测指数,这表明商品期货市场包含了与通货膨胀率相关的重要信息,可以作为未来一般物价走势的重要参考。

This paper extracts the implicit convenience yields and cyclical components of spot prices series from 22 commodities to find that the commodity future accurately forecasts the in-sample and out-of-sample inflation rate. After controlling the interest, the monetary growth rate, the prediction accuracy remains stable. The paper further employs another four types of commodity futures indices, such as Nanhua commodity future indices and commodity research bureau index from the US, to find a consistent result. All the tests demonstrate that models have better predictions based on the commodity future than the benchmark and LangRun Prediction models. The paper argues that commodity future contains valuable information on inflation and should act as an essential reference for future price prediction.