The shape of the Treasury yield curve and commodity prices

Yasmeen Bayaa, Mahmoud Qadan

Research output: Contribution to journalArticlepeer-review


We decompose the U.S. yield curve into three latent factors – the level, slope and curvature – and explore the information content of the yield curve regarding the future evolution in oil, coal, copper, ethanol, gold, heating oil, natural gas, palladium, platinum, silver and zinc prices. Using data from January 1986 to November 2021, we find that the shape of the term structure is very informative about future innovations in these commodities. Results indicate that shocks to the level, which represents long-term expectations about inflation, predict positive (negative) price (volatility) changes. Shocks to the slope and curvature, which are interpreted as part of the business cycle conditions, predict negative price changes. These results are manifested mainly in the period after the financialization era in 2004. Our findings have far-reaching implications for investors, policymakers and firms involved in the mining industry.

Original languageEnglish
Article number103311
JournalInternational Review of Financial Analysis
StatePublished - Jul 2024

Bibliographical note

Publisher Copyright:
© 2024 Elsevier Inc.


  • Coal
  • Copper
  • Crude oil
  • Energy prices
  • Ethanol
  • Gold
  • Heating oil
  • Interest rates
  • Natural gas
  • Palladium
  • Platinum
  • Silver
  • Term structure
  • Zinc

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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