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Commodity Futures Prices As Forecasts
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Book Synopsis Do Commodity Futures Help Forecast Spot Prices? by : Mr.David A Reichsfeld
Download or read book Do Commodity Futures Help Forecast Spot Prices? written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Book Synopsis Commodity Price Forecasts and Futures Prices by : Boum-Jong Choe
Download or read book Commodity Price Forecasts and Futures Prices written by Boum-Jong Choe and published by World Bank Publications. This book was released on 1990 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling and Forecasting Primary Commodity Prices by : Walter C. Labys
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Book Synopsis Forecasting Commodity Prices by : Chakriya Bowman
Download or read book Forecasting Commodity Prices written by Chakriya Bowman and published by . This book was released on 2006 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the performance of three types of commodity price forecasts--those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.
Book Synopsis Forecasting Commodity Prices by : Harry Jiler
Download or read book Forecasting Commodity Prices written by Harry Jiler and published by . This book was released on 1975 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides background to help forecasting price movements in twenty different commodity future markets and studies the price forecasting with the aid of charts.
Book Synopsis Forecasting Accuracy of Crude Oil Futures Prices by : Mr.Manmohan S. Kumar
Download or read book Forecasting Accuracy of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1991-10-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Book Synopsis Forecasting Commodity Prices by : Chakriya Bowman
Download or read book Forecasting Commodity Prices written by Chakriya Bowman and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-03-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.
Book Synopsis Rational Expectations and Commodity Price Forecasts by : Boum-Jong Choe
Download or read book Rational Expectations and Commodity Price Forecasts written by Boum-Jong Choe and published by World Bank Publications. This book was released on with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Guide to Commodity Price Forecasting by : Commodity Research Bureau (U.S.)
Download or read book Guide to Commodity Price Forecasting written by Commodity Research Bureau (U.S.) and published by . This book was released on 1965 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Prices and Markets by : Takatoshi Ito
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Book Synopsis Speculation, Hedging, and Commodity Price Forecasts by : Walter C. Labys
Download or read book Speculation, Hedging, and Commodity Price Forecasts written by Walter C. Labys and published by . This book was released on 1970 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Commodity Markets by : Julian Roche
Download or read book Forecasting Commodity Markets written by Julian Roche and published by McGraw-Hill. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Julian Roche explains every major method of forecasting markets; fundamental analysis, technical analysis, & econometric analysis. Roche discusses both the underlying theory & current application of each method, as well as pricing information on data sources & software. Moreover, the book evaluates the advantages & disadvantages of each approach & demonstrate how to combine approaches to produce an optimum forecasting method. Specific topics include: The history of fundamental, technical, & econometric analysis; Forecasting theories & applications; Accuracy of forecasting methods; The role of forecasting in trading decisions; The future of forecasting.
Book Synopsis Rational Expectations and Commodity Price Forecasts by : Boum Jong Choe
Download or read book Rational Expectations and Commodity Price Forecasts written by Boum Jong Choe and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasts for the primary commodity market by the Bank's International Commodity Markets Division - with significant but not excessive adaptation to spot- price movements - probably are reasonable, optimal short- term forecasts, superior to "naive" forecasts or futures prices.
Book Synopsis Commodity Futures Forecast Returns and Not Prices by : Davidson Heath
Download or read book Commodity Futures Forecast Returns and Not Prices written by Davidson Heath and published by . This book was released on 2013 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the forecastability of prices and returns in commodity futures markets. To examine the implications for models of commodity prices we derive a new canonical affine form that lends itself to model evaluation and comparison. Both regressions and model estimates imply that effectively all variation in the term structure of futures prices is due to time varying risk premiums and none to price forecasts. The model estimates further suggest that the economic quantity that links futures prices to storage -- the cost of carry -- is pinned down unambiguously by the data.
Book Synopsis Efficiency in Commodity Futures Markets by : International Monetary Fund
Download or read book Efficiency in Commodity Futures Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-12-29 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Book Synopsis Farm Commodity Market Performance and Economic Forecasts by : United States. Congress. Joint Economic Committee
Download or read book Farm Commodity Market Performance and Economic Forecasts written by United States. Congress. Joint Economic Committee and published by . This book was released on 1984 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Futures Prices as Embedded Forecasts by : Maurice Wilkinson
Download or read book Futures Prices as Embedded Forecasts written by Maurice Wilkinson and published by . This book was released on 1985 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
