The Information Content of Commodity Futures Markets
63 Pages Posted: 5 Apr 2019 Last revised: 20 Mar 2023
Date Written: March 19, 2023
We find that commodity futures returns have a truly global information discovery role for financial markets and the real economy around the world. The information content of non-energy commodity sector returns not only rivals the economic importance of the information content of the energy sector but is also fundamentally different from it. In line with recent theoretical work (e.g., Sockin and Xiong (2015)), we find that the information role of non-energy sectors is largely explained by sectors' ability to aggregate unique information about global macroeconomic fundamentals beyond what would be expected on the basis of countries' dependence on commodity trade.
Keywords: commodity futures markets, time-series predictability, informativeness of prices, macroeconomic fundamentals
JEL Classification: G11, G12, G13
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