# Forecasting Commodity Prices: Looking for a Benchmark

^{*}

## Abstract

**:**

## 1. Introduction

## 2. Futures Prices as a Benchmark for Nominal Prices

## 3. Local Projection as a Benchmark for Real Commodity Forecasts

## 4. Conclusions

## Author Contributions

## Funding

## Data Availability Statement

## Acknowledgments

## Conflicts of Interest

## Abbreviations

MDPI | Multidisciplinary Digital Publishing Institute |

DOAJ | Directory of open access journals |

RW | Random Walk |

LP | Local Projection |

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**Figure 1.**Sequential forecasts for nominal commodity prices. Notes: The figure presents recursive futures-based forecasts for the log of nominal commodity prices. Forecasts with 1 to 12 month horizons are evaluated for January 2000 to March 2021.

**Figure 2.**Sequential forecasts for real commodity prices. Notes: The figure presents recursive local projection-based forecasts for the log of real commodity prices. Forecasts with 1 to 60 month horizons are evaluated using data from the period January 2000–March 2021.

Commodity | Forecasting Horizon in Months | ||||
---|---|---|---|---|---|

1 | 3 | 6 | 9 | 12 | |

WTI | 0.979 | 0.951 | 0.958 | 0.947 | 0.936 |

Brent | 0.990 | 0.973 | 0.972 | 0.962 | 0.962 |

NG | 0.940 *** | 0.931 ** | 0.916 ** | 0.896 ** | 0.914 |

Copper | 1.010 | 1.008 | 1.024 | 1.043 | 1.066 |

Gold | 0.994 * | 0.976 ** | 0.940 ** | 0.905 ** | 0.869 ** |

Silver | 0.998 | 0.994 | 0.988 | 0.981 | 0.975 |

Wheat | 1.034 | 1.089 | 1.105 | N/A | N/A |

Maize | 0.997 | 1.021 | 0.950 | 0.880 | N/A |

Commodity | Forecasting Horizon in Months | ||||
---|---|---|---|---|---|

1 | 3 | 6 | 9 | 12 | |

WTI | 0.529 | 0.534 | 0.584 ** | 0.623 *** | 0.648 *** |

Brent | 0.490 | 0.506 | 0.572 *** | 0.636 *** | 0.656 *** |

NG | 0.565 *** | 0.561 *** | 0.588 *** | 0.628 *** | 0.652 *** |

Copper | 0.510 | 0.557 | 0.572 * | 0.534 | 0.525 |

Gold | 0.537 | 0.605 | 0.668 ${}^{\u2020}$ | 0.709 ${}^{\u2020}$ | 0.738 ${}^{\u2020}$ |

Silver | 0.510 | 0.549 | 0.548 | 0.579 ** | 0.594 ** |

Wheat | 0.525 * | 0.557 | 0.568 ** | N/A | N/A |

Maize | 0.541 ** | 0.565 ** | 0.580 ** | 0.644 *** | N/A |

^{2}independence test of Pesaran and Timmermann [28]. Asterisks ***, ** and * denote the 1%, 5% and 10% significance levels, whereas † indicates singularity of the test statistic. See also the comments under Table 1.

Forecasting Horizon in Months | |||||||
---|---|---|---|---|---|---|---|

Commodity | 1 | 3 | 6 | 12 | 24 | 36 | 60 |

WTI | 1.001 | 1.001 | 1.010 | 1.034 | 1.114 | 1.184 | 1.226 |

Brent | 0.999 | 0.995 | 0.995 | 1.003 | 1.034 | 1.084 | 1.177 |

NG | 0.998 * | 0.995 * | 0.991 * | 0.979 ** | 0.971 ** | 1.000 | 0.962 |

Copper | 0.999 | 0.992 | 0.977 | 0.955 | 0.896 ** | 0.866 ** | 0.819 ** |

Gold | 1.000 | 1.005 | 1.011 | 1.038 | 1.072 | 1.058 | 0.993 |

Silver | 0.999 | 0.998 | 0.993 | 0.980 | 0.923 | 0.875 * | 0.790 ** |

Wheat | 0.994 ** | 0.975 *** | 0.946 *** | 0.908 ** | 0.817 *** | 0.791 *** | 0.819 ** |

Maize | 0.998 * | 0.993 * | 0.982 ** | 0.970 * | 0.939 ** | 0.919 ** | 0.974 |

Forecasting Horizon in Months | |||||||
---|---|---|---|---|---|---|---|

Commodity | 1 | 3 | 6 | 12 | 24 | 36 | 60 |

WTI | 0.449 | 0.500 *** | 0.514 *** | 0.523 *** | 0.524 *** | 0.493 *** | 0.451 |

Brent | 0.520 *** | 0.492 ** | 0.534 *** | 0.531 *** | 0.519 *** | 0.457 *** | 0.426 |

NG | 0.539 | 0.500 | 0.522 | 0.568 ** | 0.602 *** | 0.434 | 0.564 |

Copper | 0.516 | 0.552 ** | 0.606 *** | 0.683 *** | 0.714 *** | 0.731 *** | 0.795 *** |

Gold | 0.520 | 0.437 | 0.470 | 0.527 *** | 0.511 *** | 0.557 *** | 0.641 *** |

Silver | 0.535 | 0.528 | 0.538 ** | 0.613 *** | 0.610 *** | 0.671 *** | 0.754 *** |

Wheat | 0.555 ** | 0.571 *** | 0.618 *** | 0.675 *** | 0.727 *** | 0.790 *** | 0.749 *** |

Maize | 0.516 | 0.552 ** | 0.538 ** | 0.543 ** | 0.645 *** | 0.680 *** | 0.359 |

^{2}independence test of Pesaran and Timmermann [28], with asterisks ***, ** and * denoting the 1%, 5% and 10% significance levels. See also comments under Table 3.

Forecasting Horizon in Months | |||||||
---|---|---|---|---|---|---|---|

Commodity | 1 | 3 | 6 | 12 | 24 | 36 | 60 |

WTI | 0.998 | 0.992 | 0.990 | 0.986 | 0.962 | 0.945 | 0.908 |

Brent | 0.997 | 0.990 | 0.983 | 0.975 | 0.948 | 0.927 | 0.888 |

NG | 0.998 * | 0.995 | 0.989 | 0.976 | 0.953 | 0.948 | 0.862 |

Copper | 0.999 | 0.990 | 0.977 | 0.954 | 0.893 ** | 0.833 ** | 0.737 ** |

Gold | 1.006 | 1.016 | 1.028 | 1.046 | 1.051 | 1.045 | 1.027 |

Silver | 1.000 | 0.998 | 0.995 | 0.985 | 0.943 | 0.904 | 0.828 ** |

Wheat | 0.995 *** | 0.984 *** | 0.968 *** | 0.935 ** | 0.879 ** | 0.820 *** | 0.735 *** |

Maize | 0.997 | 0.992 | 0.984 * | 0.967 | 0.934 * | 0.900 * | 0.843 ** |

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**MDPI and ACS Style**

Kwas, M.; Rubaszek, M.
Forecasting Commodity Prices: Looking for a Benchmark. *Forecasting* **2021**, *3*, 447-459.
https://doi.org/10.3390/forecast3020027

**AMA Style**

Kwas M, Rubaszek M.
Forecasting Commodity Prices: Looking for a Benchmark. *Forecasting*. 2021; 3(2):447-459.
https://doi.org/10.3390/forecast3020027

**Chicago/Turabian Style**

Kwas, Marek, and Michał Rubaszek.
2021. "Forecasting Commodity Prices: Looking for a Benchmark" *Forecasting* 3, no. 2: 447-459.
https://doi.org/10.3390/forecast3020027