The Predictive Content of Commodity Futures

Menzie Chinn and Olivier Coibion

No 15830, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity markets. This difference appears to be driven in part by the depth of each market. We find that over the last five years, it is much harder to reject the null of futures prices being unbiased predictors of future spot prices than in earlier periods for almost all commodities. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly outperform a reduced form empirical model.

JEL-codes: G13 Q43 (search for similar items in EconPapers)
Date: 2010-03
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Published as "The Predictive Content of Commodity Futures," Journal of Futures Markets, January 2013 (with Olivier Coibion).

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Related works:
Journal Article: The Predictive Content of Commodity Futures (2014)
Working Paper: The Predictive Content of Commodity Futures (2010)
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