طلا و قیمت کالاها به عنوان شاخص پیشرو تورم: آزمونهای رابطه بلند مدت و عملکرد پیش بینی

We compared the performance of gold and commodity prices as leading indicators of the inflation rate (INFR) and explored the possibility of improving INFR forecast by specifying error-correction models (ECM). We found some evidence of cointegration between commodity prices and the consumer price index (CPI). Comparisons of out-of-sample forecast errors indicate that an ECM of the CPI including commodity prices significantly outperforms a CPI model including the price of gold, but the marginal contribution of an EC term to predictive performance was statistically insignificant. We conclude that the recent emphasis on the price of gold as a guide to monetary policy is perhaps misplaced.