Examining the CRB index as a leading indicator for US inflation

Acharya, R.; Gentle, Paul F.; Paudel, Krishna P.

doi:10.1080/13504850903049619

Cited by 6 publications

(5 citation statements)

References 9 publications

(13 reference statements)

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“…It is one of the most liquid indices representing the global commodity markets and is considered a measure that comprehensively tracks movements in all economic sectors [71]. The effectiveness of a commodity price index as a precursor to inflation is investigated by multiple studies [71,72]. Since 1956, it has kept track of a broad index of commodity prices.…”

Section: Methodsmentioning

confidence: 99%

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

Ahmed,

Aslam,

Ferreira

2024

Fractal Fract

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Financial stress can have significant implications for individuals, businesses, asset prices and the economy as a whole. This study examines the nonlinear structure and dynamic changes in the multifractal behavior of cross-correlation between the financial stress index (FSI) and four well-known commodity indices, namely Commodity Research Bureau Index (CRBI), Baltic Dry Index (BDI), London Metal Index (LME) and Brent Oil prices (BROIL), using multifractal detrended cross correlation analysis (MFDCCA). For analysis, we utilized daily values of FSI and commodity index prices from 16 June 2016 to 9 July 2023. The following are the most important empirical findings: (I) All of the chosen commodity market indices show cross correlations with the FSI and have notable multifractal characteristics. (II) The presence of power law cross-correlation implies that a noteworthy shift in FSI is likely to coincide with a considerable shift in the commodity indices. (III) The multifractal cross-correlation is highest between FSI and Brent Oil (BROIL) and lowest with LME. (IV) The rolling windows analysis reveals a varying degree of persistency between FSI and commodity markets. The findings of this study have a number of important implications for commodity market investors and policymakers.

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Section: Methodsmentioning

confidence: 99%

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

Ahmed,

Aslam,

Ferreira

2024

Fractal Fract

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“…CRBI was considered as a measure that comprehensively tracks movements in all economic sectors [71]. The effectiveness of a commodity price index as a precursor to inflation is investigated by multiple studies [71][72][73]. Since 1956, the CRBI has kept track of a broad index of commodity prices.…”

Section: Methodsmentioning

confidence: 99%

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

Ahmed,

Aslam,

Ferreira

2023

Preprint

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Financial stress can have significant implications for individuals, businesses, asset prices and the economy as a whole. This study examines the nonlinear structure and dynamic changes in the multifractal behavior of cross-correlation between the financial stress index (FSI) and four well-known commodity indices, namely Commodity Research Bureau Index (CRBI), Baltic Dry Index (BDI), London Metal Index (LME) and Brent Oil prices (BROIL), using multifractal detrended cross correlation analysis (MFDCCA). For analysis, we utilized daily values of FSI and commodity index prices from 16th June 2016 to 9th July 2023. The following are the most important empirical findings: (I) All of the chosen commodity market indices show cross correlations with the FSI and have notable multifractal characteristics. (II) The presence of power law cross-correlation implies that a noteworthy shift in FSI is likely to coincide with a considerable shift in the commodity indices. (III) The multifractal cross-correlation is highest between FSI and Brent Oil (BROIL) and lowest with LME. (IV) The rolling windows analysis reveals a varying degree of persistency between FSI and commodity markets. The findings of this study have a number of important implications for commodity market investors and policymakers.

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“…Já Acharya et al (2008) analisam os movimentos históricos no mercado futuro de commodities e a relação com a infl ação, especifi camente, a relação entre o índice Commodity Research Bureau (CRB) e a infl ação dos Estados Unidos. Os autores verifi caram que a relação entre o índice CRB e a taxa de infl ação nos EUA foi maior no passado do que em tempos mais recentes, provavelmente devido a uma mudança na composição da economia dos Estados Unidos, como exemplo, o setor de serviços, que tem crescido a uma proporção maior dentro da economia.…”

Section: Evidências Internacionaisunclassified

“…Caso, por outro lado, nas especifi cações com a exclusão da taxa cambial, os choques de commodities sejam acompanhados de respostas infl acionárias com signifi cância estatís-tica, tal resultado vem a fortalecer a hipótese do trabalho. Apesar disso, no que tange à resposta central, os resultados corroboram o que foi verifi cado na literatura, principalmente nos trabalhos de Acharya et al (2008) e Melo (2010), de modo que os preços das commodities podem ser caracterizados como um dos primeiros indicadores de alerta de infl ação.…”

Section: Gráfi Co 3 Resposta De D(p) a Um Choque Generalizado No Crb unclassified

“…Para maiores informações e detalhes sobre o cálculo ofi cial do Índice de Commodities Brasil (IC-Br), ver também o trabalho de Melo (2013). 3 Sobre a metodologia de cálculo do Índice CRB, sua efi cácia e/ou inefi cácias como indicador de infl ação, pode ser encontrado no trabalho de Acharya et al (2008). por conseguinte, suas repercussões no cenário prospectivo e implicações na condução da política monetária. Segundo Ono (2014), o choque dos preços das commodities infl uencia positivamente, por um lado, a infl ação, uma vez que o aumento desses preços elevará os custos das empresas, e consequentemente poderá ser repassado ao produto fi nal.…”

Section: Introductionunclassified

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O impacto das commodities sobre a dinâmica da inflação no Brasil e o papel amortecedor do câmbio: evidências para o CRB Índex e Índice de Commodities Brasil

2017

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Resumo AbstractThis article investigates the impacts of shocks in commodity prices, measured by the CRB and IC-Br indexes, on the infl ationary dynamics in Brazil, from January 2005 to December 2013, using vector autoregressive (VAR) models. Specifi cally, the role of the nominal exchange rate was tested as a smoothing mechanism for infl ationary effects of those shocks. The main results were the following: (i) Both indexes are robust for anticipating consumer prices changes in Brazil; (ii) the CRB index is more suitable to express the inverse correlation of commodities prices and the nominal exchange rate in Brazil; (iii) the exchange rate changes caused by shocks in commodity prices are, as expected by the literature, an important mechanism to smooth the induced infl ationary pressure. The impact of commodities on Brazilian infl ationary dynamics and the smoothing role of the exchange rate: evidences for the CRB Index and Commodity Index Brasil Keywords

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Examining the CRB index as a leading indicator for US inflation

Cited by 6 publications

References 9 publications

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices

O impacto das commodities sobre a dinâmica da inflação no Brasil e o papel amortecedor do câmbio: evidências para o CRB Índex e Índice de Commodities Brasil

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