Rational expectations and commodity price forecasts
AbstractThe main purpose of this paper is to take a new look at the commodity market (CM) price forecasts in light of recent investigations. The CM forecasts are similar in nature to the survey expectations in that both solicit market experts'opinions about future price developments. However, there are important differences: CM forecasts are more of the consensus-type forecasts than survey data and deal with physical goods that are subject to different risks and constraints. The characteristics of the CM forecasts are reviewed in relation to the futures prices of the same commodities. This paper also estimates the alternative expectational models and tests the rationality of the expectational behavior.
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 The World Bank in its series Policy Research Working Paper Series with number 435.
Date of creation: 30 Jun 1990
Date of revision:
Economic Forecasting; Economic Theory&Research; Environmental Economics&Policies; Access to Markets; Markets and Market Access;
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.:
- Dokko, Yoon & Edelstein, Robert H, 1989. "How Well Do Economists Forecast Stock Market Prices? A Study of the Livingston Surveys," American Economic Review, American Economic Association, vol. 79(4), pages 865-71, September.
- Jonathan S. Leonard, 1980.
"Wage Expectations in the Labor Market: Survey Evidence on Rationality,"
NBER Working Papers
0440, National Bureau of Economic Research, Inc.
- Leonard, Jonathan S, 1982. "Wage Expectations in the Labor Market: Survey Evidence on Rationality," The Review of Economics and Statistics, MIT Press, vol. 64(1), pages 157-61, February.
- Lewis, Karen K, 1989. "Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange," American Economic Review, American Economic Association, vol. 79(4), pages 621-36, September.
- Benjamin M. Friedman, 1980. "Survey Evidence on The Rationality of Interest Rate Expectations," NBER Working Papers 0261, National Bureau of Economic Research, Inc.
- Dominguez, Kathryn M., 1986.
"Are foreign exchange forecasts rational? : New evidence from survey data,"
Elsevier, vol. 21(3), pages 277-281.
- Kathryn M. Dominguez, 1986. "Are foreign exchange forecasts rational? New evidence from survey data," International Finance Discussion Papers 281, Board of Governors of the Federal Reserve System (U.S.).
- Gregory Mankiw, N. & Shapiro, Matthew D., 1986.
"Do we reject too often? : Small sample properties of tests of rational expectations models,"
Elsevier, vol. 20(2), pages 139-145.
- N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models," NBER Technical Working Papers 0051, National Bureau of Economic Research, Inc.
- Kenneth A. Froot and Jeffrey A. Frankel., 1988.
"Forward Discount Bias: Is It an Exchange Risk Premium?,"
Economics Working Papers
8874, University of California at Berkeley.
- Froot, Kenneth A & Frankel, Jeffrey A, 1989. "Forward Discount Bias: Is It an Exchange Risk Premium?," The Quarterly Journal of Economics, MIT Press, vol. 104(1), pages 139-61, February.
- Froot, Kenneth A. & Frankel, Jeffrey A., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Department of Economics, Working Paper Series qt5w65g4zg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- Figlewski, Stephen & Wachtel, Paul, 1981. "The Formation of Inflationary Expectations," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 1-10, February.
- Warr, Peter G., 1990. "Predictive performance of the World Bank's commodity price projections," Agricultural Economics, Blackwell, vol. 4(3-4), pages 365-379, December.
- Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19.
- Boum-Jong Choe, 1990. "Commodity price forecasts and futures prices," Policy Research Working Paper Series 436, The World Bank.
- Jeffrey A. Frankel, 2008.
"The Effect of Monetary Policy on Real Commodity Prices,"
in: Asset Prices and Monetary Policy, pages 291-333
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roula I. Yazigi).
If references are entirely missing, you can add them using this form.