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Factors of predictive power for metal commodities

Author

Listed:
  • Papenfuß, Patric
  • Schischke, Amelie
  • Rathgeber, Andreas

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.

Suggested Citation

  • Papenfuß, Patric & Schischke, Amelie & Rathgeber, Andreas, 2025. "Factors of predictive power for metal commodities," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002341
    DOI: 10.1016/j.najef.2024.102309
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    Keywords

    Commodity price forecasts; Metal price predictors; Commodity-specific microeconomics; Out-of-sample forecasts; Predictor selection;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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