Forecasting Performance of Lumber Futures Prices | Zendy

Shiv N. Mehrotra | Zendy; Douglas R. Carter | Zendy

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Forecasting Performance of Lumber Futures Prices

Author(s) -

Shiv N. Mehrotra,

Douglas R. Carter

Publication year - 2017

Publication title -

economics research international

Language(s) - English

Resource type - Journals

eISSN - 2090-2123

pISSN - 2090-2131

DOI - 10.1155/2017/1650363

Subject(s) - futures contract , economics , granger causality , econometrics , lag , lagging , financial economics , explanatory power , predictive power , statistics , mathematics , computer science , computer network , philosophy , epistemology

We test the forecasting power and information content of lumber futures prices traded on the Chicago Mercantile Exchange, from 1995 to 2013, at four forecast horizons. A Mincer-Zarnowitz regression finds evidence of statistically significant forecasting power at all forecast horizons. The results also support the presence of a time-varying risk premium for the shorter forecast horizons. A Granger causality test provides evidence that lumber futures prices lag spot prices in information assimilation over longer forecast horizons, while neither lagging nor leading over shorter forecast horizons

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