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Using a model averaging approach, we provide strong evidence of in\u2010sample and out\u2010of\u2010sample predictive ability from commodity prices and convenience yields to inflation, establishing clear point and density forecast performance gains when incorporating disaggregated commodities price information. The resulting forecast densities are used to calculate the (ex\u2010ante) risk of inflation breaching defined thresholds that broadly characterize periods of high and low inflation. We find that information in commodity prices significantly enhances our ability to pick out tail inflation events and to characterize the level of risks associated with periods of high volatility in commodity prices.<\/jats:p>","DOI":"10.1002\/jae.2868","type":"journal-article","created":{"date-parts":[[2021,8,3]],"date-time":"2021-08-03T01:10:45Z","timestamp":1627953045000},"page":"392-414","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["Commodity prices and inflation risk"],"prefix":"10.1002","volume":"37","author":[{"given":"Anthony","family":"Garratt","sequence":"first","affiliation":[{"name":"Warwick Business School University of Warwick  Coventry UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ivan","family":"Petrella","sequence":"additional","affiliation":[{"name":"Warwick Business School Coventry, UK and CEPR  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,12,20]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2019.02.004"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000332"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1023"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1175\/1520-0493(1950)078<0001:VOFEIT>2.0.CO;2"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.06.013"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.21615"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.09248"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2013.11.005"},{"key":"e_1_2_10_10_1","doi-asserted-by":"crossref","unstructured":"Delle Chiaie S. 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