Forecasting Commodity Prices : Futures Versus Judgment

WPIEA0412004 Image
Price:  $15.00

Author/Editor: Aasim M Husain, Chakriya Bowman
Release Date: © March, 2004
ISBN : 978-1-45184-613-3
Stock #: WPIEA0412004
Stock Status: On back-order

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This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.

More publications in this series: Working Papers

More publications by: Aasim M Husain ; Chakriya Bowman