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The Predictive Content of Commodity Futures

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  • Menzie D. Chinn
  • Olivier Coibion

Abstract

This study examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities. In particular, we examine whether futures prices are (1) unbiased and/or (2) accurate predictors of subsequent prices. We document significant differences both across and within commodity groups. Precious and base metals fail most tests of unbiasedness and are poor predictors of subsequent price changes but energy and agricultural futures fare much better. We find little evidence that these differences reflect liquidity conditions across markets. In addition, we document a broad decline in the predictive content of commodity futures prices since the early 2000s. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:607–636, 2014

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  • Menzie D. Chinn & Olivier Coibion, 2014. "The Predictive Content of Commodity Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 607-636, July.
  • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636
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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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