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The Role of Futures in Daily Forward Pricing

Ted Covey and David Bessler ()

No 271282, 1991 Annual Meeting, August 4-7, Manhattan, Kansas from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Previous research has explored whether a commodity's own-futures price could be used to improve the prediction of its delivery-date spot prices. An additional perspective is whether prices from various futures contracts (both own as well as other commodity and financial) could be used to improve predictions of day-to-day spot prices. Time series models (which could have been implemented by cash-market participants over the observation period) were used to make one- to ten-step-ahead post-sample forecasts of daily spot prices for Texas-Oklahoma slaughter cattle. A model relying on both cash and nearby own-futures price information was shown to significantly improve predictions of daily spot prices over those predictions made by a model relying on a nonfutures (cash) information set.

Keywords: Agricultural and Food Policy; Crop Production/Industries (search for similar items in EconPapers)
Pages: 21
Date: 1991-08-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea91:271282

DOI: 10.22004/ag.econ.271282

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