Do Commodity Futures Help Forecast Spot Prices PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Do Commodity Futures Help Forecast Spot Prices PDF full book. Access full book title Do Commodity Futures Help Forecast Spot Prices.
| Author | : Mr.David A Reichsfeld |
| Publisher | : International Monetary Fund |
| Total Pages | : 27 |
| Release | : 2011-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1463923899 |
Download Do Commodity Futures Help Forecast Spot Prices? Book in PDF, ePub and Kindle
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.
| Author | : Boum-Jong Choe |
| Publisher | : World Bank Publications |
| Total Pages | : 28 |
| Release | : 1990 |
| Genre | : Precios |
| ISBN | : |
Download Commodity Price Forecasts and Futures Prices Book in PDF, ePub and Kindle
| Author | : Manuel Fuchs |
| Publisher | : |
| Total Pages | : 68 |
| Release | : 2011-07 |
| Genre | : |
| ISBN | : 9783639368642 |
Download Can Commodity Futures Prices Forecast Future Spot Prices? Book in PDF, ePub and Kindle
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.
| Author | : Harry Jiler |
| Publisher | : |
| Total Pages | : 214 |
| Release | : 1975 |
| Genre | : Business & Economics |
| ISBN | : |
Download Forecasting Commodity Prices Book in PDF, ePub and Kindle
Provides background to help forecasting price movements in twenty different commodity future markets and studies the price forecasting with the aid of charts.
| Author | : Boum-Jong Choe |
| Publisher | : World Bank Publications |
| Total Pages | : 27 |
| Release | : |
| Genre | : |
| ISBN | : |
Download Rational Expectations and Commodity Price Forecasts Book in PDF, ePub and Kindle
| Author | : Chakriya Bowman |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Forecasting Commodity Prices Book in PDF, ePub and Kindle
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.
| Author | : Chakriya Bowman |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 28 |
| Release | : 2004-03-01 |
| Genre | : Business & Economics |
| ISBN | : 9781451846133 |
Download Forecasting Commodity Prices Book in PDF, ePub and Kindle
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.
| Author | : Takatoshi Ito |
| Publisher | : University of Chicago Press |
| Total Pages | : 346 |
| Release | : 2011-03 |
| Genre | : Business & Economics |
| ISBN | : 0226386899 |
Download Commodity Prices and Markets Book in PDF, ePub and Kindle
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.
| Author | : Barry Goss |
| Publisher | : Routledge |
| Total Pages | : 259 |
| Release | : 2013-05-02 |
| Genre | : Business & Economics |
| ISBN | : 1135047510 |
Download Futures Markets (Routledge Revivals) Book in PDF, ePub and Kindle
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.
| Author | : International Monetary Fund |
| Publisher | : International Monetary Fund |
| Total Pages | : 40 |
| Release | : 1989-12-29 |
| Genre | : Business & Economics |
| ISBN | : 1451946961 |
Download Efficiency in Commodity Futures Markets Book in PDF, ePub and Kindle
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.
