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The Predictive Content of Energy Futures
Menzie David Chinn
Michael LeBlanc
Olivier Coibion
其他書名
An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
出版
National Bureau of Economic Research
, 2005
URL
http://books.google.com.hk/books?id=ykWyAAAAIAAJ&hl=&source=gbs_api
註釋
"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.
