A historical perspective of the informational content of commodity futures

Viviana Fernandez

Resources Policy, 2017, vol. 51, issue C, 135-150

Abstract: This article extends Chinn and Coibion (2014)'s work--Journal of Futures Markets 34-- on predictive content of commodity futures by considering a more comprehensive database and a longer time span, ranging from 25 to 65 years, and by presenting two extensions: multi-equation estimation of risk premiums and testing for the theory of storage.

Keywords: Q02; L72; C13; Premium; Theory of storage; Seemingly unrelated equations (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:51:y:2017:i:c:p:135-150

DOI: 10.1016/j.resourpol.2016.12.002

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