Commodity Prices, Convenience Yields, and Inflation
研究发现23种商品的便利收益（持有现货而非期货的隐性收益）的两个主成分能显著预测通货膨胀，即使控制失业缺口和油价后依然有效，对G7国家均适用，并提出了使用主成分作为回归变量的统计推断方法。
This paper provides evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for inflation even after controlling for unemployment gap and oil prices. The results hold up in out-of-sample forecasts, across forecast horizons, and across G7 countries. The convenience yields also explain commodity prices and can be seen as informational variables about future economic conditions as conveyed by the futures markets. A bootstrap procedure for conducting inference when the principal components are used as regressors is also proposed. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.