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Do Commodity Futures Help Forecast Spot Prices
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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 Can Commodity Futures Prices Forecast Future Spot Prices? by : Manuel Fuchs
Download or read book Can Commodity Futures Prices Forecast Future Spot Prices? written by Manuel Fuchs and published by . This book was released on 2011-07 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures prices are widely used as a tool for forecasting and predicting future commodity spot prices. Indeed, commodity futures prices do have certain forecasting power. However, their explanation power is strongly limited. In particular, this thesis tests whether WTI and Brent crude oil futures prices can forecast future spot prices accurately. Based on economic theory and two conflicting research views, we apply an OLS regression in order to show the empirical poorness of WTI and Brent crude oil futures prices as forecasting agents of future spot prices. In addition, we reject the null hypothesis of an unbiased and efficient market for the majority of the analyzed WTI and Brent futures contracts. We provide both theoretical and empirical evidence indicating that WTI and Brent futures prices cannot forecast future spot prices accurately.
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 214 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 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 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 : 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 Can Futures Curves Predict Spot Prices? Evidence from Commodity Markets by : Dominik Neukom
Download or read book Can Futures Curves Predict Spot Prices? Evidence from Commodity Markets written by Dominik Neukom and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master thesis examines the predictive forecast power as well as the forecast properties of crude oil futures over five different time horizons for the time period of January 1990 until December 2015. The thesis' emphasis is to improve the general understanding of futures' abilities and limitations and to further clarify whether the widespread use of futures prices as the market's expectation of future price developments is justified.
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 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 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 Futures Markets (Routledge Revivals) by : Barry Goss
Download or read book Futures Markets (Routledge Revivals) written by Barry Goss and published by Routledge. This book was released on 2013-05-02 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1986, this book discusses many important aspects of the theory and practice of Futures Markets. It describes how they, at the time, grew to be an increasingly important feature of the world's major financial centres. Indeed, they adopted the role of being efficient forward pricing mechanisms and this was reflected by the interest of economists in the study of risk, uncertainty and information. Here, the contributors focus on areas that were of concern in the late 1980s such as feasibility, forward pricing and returns, and the modelling of price determination in Futures Markets. Evidence is drawn from twenty-five different commodities representing all the major commodity groups; and from all the world's major centres of Futures Trading.
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 and Financial Markets by : L. Phlips
Download or read book Commodity, Futures and Financial Markets written by L. Phlips and published by Springer Science & Business Media. This book was released on 1990-11-30 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Louis Phlips The stabilisation of primary commodity prices, and the related issue of the stabilisation of export earnings of developing countries, have traditionally been studied without reference to the futures markets (that exist or could exist) for these commodities. These futures markets have in turn been s~udied in isolation. The same is true for the new developments on financial markets. Over the last few years, in particular sine the 1985 tin crisis and the October 1987 stock exchange crisis, it has become evident that there are inter actions between commodity, futures, and financial markets and that these inter actions are very important. The more so as trade on futures and financial markets has shown a spectacular increase. This volume brings together a number of recent and unpublished papers on these interactions by leading specialists (and their students). A first set of papers examines how the use of futures markets could help stabilising export earnings of developing countries and how this compares to the rather unsuccessful UNCTAD type interventions via buffer stocks, pegged prices and cartels. A second set of papers faces the fact, largely ignored in the literature, that commodity prices are determined in foreign currencies, with the result that developing countries suffer from the volatility of exchange rates of these currencies (even in cases where commodity prices are relatively stable). Financial markets are thus explicitly linked to futures and commodity markets.
Book Synopsis The World Scientific Handbook of Futures Markets by : Anastasios G. E. T. Al MALLIARIS
Download or read book The World Scientific Handbook of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
Book Synopsis The Predictive Content of Commodity Futures by : Menzie D. Chinn
Download or read book The Predictive Content of Commodity Futures written by Menzie D. Chinn and published by . This book was released on 2010 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity markets. This difference appears to be driven in part by the depth of each market. We find that over the last five years, it is much harder to reject the null of futures prices being unbiased predictors of future spot prices than in earlier periods for almost all commodities. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly outperform a reduced form empirical model -- National Bureau of Economic Research web site.
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
