The predictive content of energy futures
an update on petroleum, natural gas, heating oil and gasoline
by Menzie David Chinn
"This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models"--National Bureau of Economic Research web site.
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The predictive content of energy futures: an update on petroleum, natural gas, heating oil, and gasoline
2005, National Bureau of Economic Research
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in English
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The predictive content of energy futures: an update on petroleum, natural gas, heating oil and gasoline
2005, National Bureau of Economic Research
in English
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Book Details
Edition Notes
"January 2005."
Includes bibliographical references (p. 11-12).
Also available in PDF from the NBER world wide web site (www.nber.org).
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"This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models"--National Bureau of Economic Research web site.
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