The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

Menzie Chinn, Michael LeBlanc and Olivier Coibion

No 11033, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models.

JEL-codes: G13 Q43 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (47)

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