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The Predictive Content of Commodity Futures
Author(s) -
Chinn Menzie D.,
Coibion Olivier
Publication year - 2014
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21615
Subject(s) - futures contract , commodity , economics , market liquidity , precious metal , financial economics , futures market , monetary economics , econometrics , finance , chemistry , metal , organic chemistry
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