Forecasting Commodity Prices : Futures Versus Judgment /

This paper assesses the performance of three types of commodity price forecasts-those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be...

Description complète

Détails bibliographiques
Auteur principal: Husain, Aasim
Autres auteurs: Bowman, Chakriya
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 2004.
Collection:IMF Working Papers; Working Paper ; No. 2004/041
Accès en ligne:Full text available on IMF
Description
Résumé:This paper assesses the performance of three types of commodity price forecasts-those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.
Description:<strong>Off-Campus Access:</strong> No User ID or Password Required
<strong>On-Campus Access:</strong> No User ID or Password Required
Description matérielle:1 online resource (28 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Accès:Electronic access restricted to authorized BRAC University faculty, staff and students