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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Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
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"Research On Futures Markets: Issues, Approaches, And Empirical Findings,"
Western Journal of Agricultural Economics,
Western Agricultural Economics Association, vol. 14(01), July.
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- Sanford J Grossman & Joseph E Stiglitz, 1997.
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Levine's Working Paper Archive
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- Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233.
- 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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