UDC 336.76, 336.78, 339.13
DOI: 10.36871/ek.up.p.r.2022.03.01.011
Authors
Michael V. Bugaev,
Financial University under the Government of the Russian Federation, Moscow, Russia
Abstract
The subject of the study is the impact of the expected interest rate on commodity prices. The purpose
of the work is to determine the degree of influence of the expected interest rate on commodity prices.
Structural and conventional vector autoregression models were used. The period 1998–2020 allows us to
consider the impact of the expected interest rate on commodities in dynamics.
The results demonstrated that the expected interest rate, measured through futures contracts, has the opposite
effect on the prices of most commodities. The effect of shock persists for 3-5 months. The direct contribution of
the expected interest rate to the variance of the forecast does not exceed 20%, but the indirect effect through the
dollar exchange rate can be seen from the results of the analysis of the decomposition of the variance.
The use of the expected interest rate for forecasting commodity prices is justified due to the better efficiency,
according to the coefficient of average absolute error, compared with the “naïve” model. The results obtained can
be used by investors and managers as an additional factor in the formation of deposit portfolios.
Keywords
expected interest rate, commodity, SVAR model, forecast
