Commodity Futures Prices As Forecasts
AbstractFutures markets provide contemporaneous price quotations for a constellation of contracts, with maturities 30 or more months in the future, and a large literature exists about interpreting these prices as forecasts. It is often preferable to think of futures markets as determining a price level and price differences appropriate to the temporal definitions of the contracts. Futures prices can be efficient in reflecting a complex set of factors, but still be "poor" forecasters. Forecasts from quantitative models cannot improve upon efficient futures prices as forecasting agents; the models provide equally poor forecasts. Analogous ideas are discussed for basis forecasts.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Cornell University, Department of Applied Economics and Management in its series Working Papers with number 127901.
Date of creation: Aug 1996
Date of revision:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Bessler, David A. & Brandt, Jon A., 1992. "An analysis of forecasts of livestock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 18(2), pages 249-263, July.
- Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 14(01), July.
- Rausser, Gordon C & Carter, Colin, 1983.
"Futures Market Efficiency in the Soybean Complex,"
The Review of Economics and Statistics,
MIT Press, vol. 65(3), pages 469-78, August.
- Rausser, Gordon C. & Carter, Colin, 1981. "Futures market efficiency in the soybean complex," CUDARE Working Paper Series 139R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
- Rausser, Gordon C. & Carter, Colin A., 1982. "Futures market efficiency in the soybean complex," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- Kahl, Kandice H. & Tomek, William G., 1986. "Forward-Pricing Models for Futures Markets: Some Statistical and Interpretative Issues," Food Research Institute Studies, Stanford University, Food Research Institute, Stanford University, Food Research Institute, issue 01.
- Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 66, pages 233.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.