Using more than 140 years of data, we comprehensively analyze the predictive power of a broad set of business cycle variables for risk and return in commodity spot markets. We find that industrial production growth and inflation are the strongest predictors for future commodity returns. Several further variables help predict future commodity volatilities. The introduction of derivatives generally reduces the predictability in the most active commodity markets but increases the predictability in others. Thus, derivatives likely make markets more efficient, but also attract most of the price discovery activity. Commodity spot volatilities generally rise after futures introduction.

我们使用 140 多年的数据，全面分析了一系列广泛的商业周期变量对商品现货市场风险和回报的预测能力。我们发现工业生产增长和通货膨胀是未来商品回报的最强预测因素。几个进一步的变量有助于预测未来的商品波动。衍生品的引入通常会降低最活跃商品市场的可预测性，但会增加其他商品市场的可预测性。因此，衍生品可能使市场更有效率，但也吸引了大部分的价格发现活动。期货推出后，商品现货波动率普遍上升。