Forecasting Commodity Prices Using the Term Structure

Yasmeen Idilbi-Bayaa, Mahmoud Qadan

Research output: Contribution to journalArticlepeer-review


The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several parametric and non-parametric tests, are robust and indicate that the ability to forecast future performance changes over time. Specifically, between 1986 and the early 2000s the yield curve was quite successful in forecasting monthly changes in commodity prices, but that success diminished in the period following. One possible explanation for this outcome is the increased flow of capital into the commodity market resulting in stronger correlations with the equity markets and a breakdown of the obvious relationship between commodities and business cycle. Our findings are important for asset pricing, commodity traders and policy makers.

Original languageEnglish
Article number585
JournalJournal of Risk and Financial Management
Issue number12
StatePublished - Dec 2021

Bibliographical note

Publisher Copyright:
© 2021 by the authors.


  • commodity market
  • forecasting
  • metals
  • term structure
  • yield spread

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting (miscellaneous)
  • Finance
  • Economics and Econometrics


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