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Forecasting Industrial Commodity Prices: Literature Review and a Model Suite

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dc.contributor.authorArroyo-Marioli, Francisco
dc.contributor.authorKhadan, Jeetendra
dc.contributor.authorOhnsorge, Franziska
dc.contributor.authorYamazaki, Takefumi
dc.date.accessioned2023-11-28T22:17:30Z
dc.date.available2023-11-28T22:17:30Z
dc.date.issued2023-11-28
dc.description.abstractAlmost two-thirds of emerging market and developing economies rely heavily on resource sectors for economic activity, fiscal and export revenues. In these economies, economic planning requires sound baseline projections for the global prices of the commodities they rely on and a sense of the risks around such baseline projections. This paper presents a model suite to prepare well-founded forecasts for the global prices for oil and six industrial metals (aluminum, copper, lead, nickel, tin, and zinc). The model suite adapts six approaches used in the literature and tests their forecast performance. Broadly speaking, futures prices or bivariate correlations performed well at short horizons, and consensus forecasts and a large-scale macroeconometric model performed well at long horizons. The strength of Bayesian vector autoregression models lies in generating forecast scenarios. The sizable forecast error bands generated by the model suite highlight the need for policy makers to engage in careful contingency planning for higher or lower prices.en
dc.identifierhttp://documents.worldbank.org/curated/en/099329511212316381/IDU07821126108129045030af6304c96e8bbbc1a
dc.identifier.doi10.1596/1813-9450-10611
dc.identifier.urihttps://openknowledge.worldbank.org/handle/10986/40657
dc.languageEnglish
dc.language.isoen
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper; 10611
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttps://creativecommons.org/licenses/by/3.0/igo/
dc.subjectOIL PRICE
dc.subjectMETAL PRICE
dc.subjectCOMMODITY PRICES
dc.subjectFORECASTING
dc.titleForecasting Industrial Commodity Pricesen
dc.title.subtitleLiterature Review and a Model Suiteen
dc.typeWorking Paper
dspace.entity.typePublication
okr.crossref.titleForecasting Industrial Commodity Prices: Literature Review and a Model Suite
okr.date.disclosure2023-11-21
okr.date.doiregistration2025-04-15T02:57:17.939416Z
okr.date.lastmodified2023-11-21T00:00:00Zen
okr.doctypePolicy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/099329511212316381/IDU07821126108129045030af6304c96e8bbbc1a
okr.guid099329511212316381
okr.identifier.docmidIDU-78211261-8129-4503-af63-4c96e8bbbc1a
okr.identifier.doi10.1596/1813-9450-10611
okr.identifier.doihttp://dx.doi.org/10.1596/1813-9450-10611
okr.identifier.externaldocumentum34200623
okr.identifier.internaldocumentum34200623
okr.identifier.reportWPS10611
okr.import.id2384
okr.importedtrueen
okr.language.supporteden
okr.pdfurlhttp://documents.worldbank.org/curated/en/099329511212316381/pdf/IDU07821126108129045030af6304c96e8bbbc1a.pdfen
okr.topicAgriculture::Commodity Risk Management
okr.topicEnergy::Energy and Natural Resources
okr.topicMacroeconomics and Economic Growth::Economic Forecasting
okr.unitProspects Group (DECPG)
relation.isAuthorOfPublication5807995a-9e0a-5d56-b622-d4d19e723613
relation.isAuthorOfPublication.latestForDiscovery5807995a-9e0a-5d56-b622-d4d19e723613
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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