Do Commodity Futures Help Forecast Spot Prices
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Author | : Mr.David A Reichsfeld |
Publisher | : International Monetary Fund |
Total Pages | : 27 |
Release | : 2011-11-01 |
Genre | : Business & Economics |
ISBN | : 1463923899 |
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Author | : Takatoshi Ito |
Publisher | : University of Chicago Press |
Total Pages | : 346 |
Release | : 2011-03 |
Genre | : Business & Economics |
ISBN | : 0226386899 |
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Author | : Anastasios G. E. T. Al MALLIARIS |
Publisher | : World Scientific |
Total Pages | : 844 |
Release | : 2015-08-06 |
Genre | : Business & Economics |
ISBN | : 9814566926 |
"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
Author | : Craig Pirrong |
Publisher | : Cambridge University Press |
Total Pages | : 239 |
Release | : 2011-10-31 |
Genre | : Business & Economics |
ISBN | : 1139501976 |
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author | : B.R. Munier |
Publisher | : IOS Press |
Total Pages | : 256 |
Release | : 2012-04-24 |
Genre | : Business & Economics |
ISBN | : 1614990379 |
The recent global financial crisis exposed the serious limitations of existing economic and financial models. Not only did macro models fail to predict the crisis, they seemed incapable of explaining what was happening to the economy. Policymakers felt abandoned by the conventional tools of the now obsolete Washington consensus and the World Trade Organization’s oversimplified faith in free markets.The traditional models for agricultural commodities have so far failed to take into account the uncertain character of the global agricultural economy and its ferocious consequences in food price volatility, the worst in 300 years, yielding hunger riots throughout the world. This book explores the elements which could help to close this fundamental modeling gap. To what extent should traditional models be questioned regarding agricultural commodities? Are prices on these markets foreseeable? Can their evolution be either predicted or convincingly simulated, and if so, by which methods and models? Presenting contributions from acknowledged experts from several countries and backgrounds – professors at major international universities or researchers within specialized international organizations – the book concentrates on four issues: the role of expectations and capacity of prediction; policy issues related to development strategies and food security; the role of hoarding and speculation and finally, global modeling methods. The book offers a renewed wisdom on some of the core issues in the world economy today and puts forward important innovations in analyzing these core issues, among which the modular modeling design, the Momagri model being a seminal example of it. Reading this book should inspire fruitful revisions in policy-making to improve the welfare of populations worldwide.
Author | : L. Dee Belveal |
Publisher | : Irwin Professional Publishing |
Total Pages | : 204 |
Release | : 1985 |
Genre | : Business & Economics |
ISBN | : |
Author | : Allen B. Paul |
Publisher | : |
Total Pages | : 186 |
Release | : 1961 |
Genre | : Potatoes |
ISBN | : |
Author | : Walter C. Labys |
Publisher | : Routledge |
Total Pages | : 247 |
Release | : 2017-03-02 |
Genre | : Business & Economics |
ISBN | : 1351917080 |
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Author | : Jacques Girod |
Publisher | : Springer |
Total Pages | : 290 |
Release | : 2006-12-14 |
Genre | : Business & Economics |
ISBN | : 0230626319 |
The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.
Author | : Robin G. Adams |
Publisher | : Emerald Group Publishing |
Total Pages | : 205 |
Release | : 2019-08-26 |
Genre | : Business & Economics |
ISBN | : 1789737893 |
This book brings together perspectives from economics, specifically minerals economics, to the management of global mining companies. It covers volatile price forecasting, cost analysis, investment decisions, and the social, environmental, and developmental impacts of mining.