On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances. We implement unconditional and...