European Parliament Library

Forecasting Commodity Prices :, Futures Versus Judgment, Aasim Husain, Chakriya Bowman

Contributor
Abstract
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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. COMMODITY PRICE DEVELOPMENTS: SOME FACTS""; ""III. STATIONARITY AND COINTEGRATION""; ""IV. FORECASTING MODELS""; ""V. ASSESSING FORECAST PERFORMANCE""; ""VI. DATA""; ""VII. RESULTS""; ""VIII. CONCLUSION""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (28 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451893366

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