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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- 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.
- Rausser, Gordon C. & Carter, Colin A., 1982.
"Futures market efficiency in the soybean complex,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
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, issue 01.
- Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
- Sanford J Grossman & Joseph E Stiglitz, 1997.
"On the Impossibility of Informationally Efficient Markets,"
Levine's Working Paper Archive
1908, David K. Levine.
- 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.
- 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.
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