We decompose the U.S. yield curve into three latent factors – the level, slope and curvature – and explore the information content of the yield curve regarding the future evolution in oil, coal, copper, ethanol, gold, heating oil, natural gas, palladium, platinum, silver and zinc prices. Using data from January 1986 to November 2021, we find that the shape of the term structure is very informative about future innovations in these commodities. Results indicate that shocks to the level, which represents long-term expectations about inflation, predict positive (negative) price (volatility) changes. Shocks to the slope and curvature, which are interpreted as part of the business cycle conditions, predict negative price changes. These results are manifested mainly in the period after the financialization era in 2004. Our findings have far-reaching implications for investors, policymakers and firms involved in the mining industry.

中文翻译：

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美国国债收益率曲线的形状和大宗商品价格

我们将美国收益率曲线分解为三个潜在因素——水平、斜率和曲率——并探讨收益率曲线中有关石油、煤炭、铜、乙醇、黄金、取暖油、天然气、钯金、铂、银和锌的价格。使用 1986 年 1 月至 2021 年 11 月的数据，我们发现期限结构的形状对于这些商品的未来创新提供了非常丰富的信息。结果表明，对代表通胀长期预期的水平的冲击可预测价格（波动性）的正（负）变化。斜率和曲率的冲击被解释为商业周期条件的一部分，预示着价格的负变化。这些结果主要体现在2004年金融化时代之后的时期。我们的研究结果对投资者、政策制定者和参与采矿业的企业具有深远的影响。