Commodity Futures Prices As Forecasts
Futures 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.
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Levine's Working Paper Archive
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- Richard G. Heifner, 1966. "The Gains from Basing Grain Storage Decisions on Cash-Future Spreads," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 48(5), pages 1490-1495.
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- repec:are:cudare:139r is not listed on IDEAS
- Avraham Kamara, 1982. "Issues in futures markets: A survey," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(3), pages 261-294, 09.
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Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- William G. Tomek & Roger W. Gray, 1970. "Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 52(3), pages 372-380.
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