QUEEN'S UNIVERSITY CENTRE FOR ECONOMIC HISTORY (QUCEH) SEMINAR 

Friday 7^th February

1pm

“Commodity Spot-Future Spreads and Inflation Expectations, 1877-2020​”

Elissa lorgulescu

University of Hohenheim

Abstract: Previous literature has used the spread between commodity spot and futures prices as a measure of inflation expectations, but the direction of this relationship has been called into question. We use hand-collected commodity price data to test the relationship between commodity spot-future spreads, subsequent inflation, and an independent measure of inflation expectations derived from the text of New York Times articles between 1877 and 2020. Spot-future spreads are found to have been positively associated with subsequent inflation from 1877-1922, but between 1952 and 2020, the relationship was negative. In the 1923-51 period, the relationship was generally ambiguous. We argue that this relationship changed because a shift in monetary regimes changed the optimal trading strategy for commodity traders with new information about inflationary or deflationary trends.
​(Co-authored with William Quinn.)

QBS Conference Hub, Seminar Room 01.012