Crude oil: Does the futures price predict the spot price?

Pyung Kun Chu, Kristian Hoff, Peter Molnár and Magnus Olsvik

Research in International Business and Finance, 2022, vol. 60, issue C

Abstract: This paper studies the predictability of the Brent crude oil price. In accordance with previous literature, we find that the simple no-change forecast works better than forecasts based on futures prices over short-term horizons (less than one year). However, futures-based forecasts perform better than the no-change forecast across long-term horizons (one to five years). Moreover, the best performing model is a model that imposes very little structure on the relationship between spot and futures prices.

Keywords: Crude oil; Spot price; Futures price; Forecasting (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002324

DOI: 10.1016/j.ribaf.2021.101611

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