Actions for The predictive content of energy futures : an update on petroleum, natural gas, heating oil and gasoline

Email RIS file
Bookmark
Report an Issue

The predictive content of energy futures : an update on petroleum, natural gas, heating oil and gasoline / Menzie D. Chinn, Michael LeBlanc, Olivier Coibion

Author
Chinn, Menzie David
Published
Cambridge, Mass. : National Bureau of Economic Research, 2005.
Physical Description
13, 4 pages : illustrations ; 22 cm.
Additional Creators
LeBlanc, Michael R., Coibion, Olivier, and National Bureau of Economic Research
Online Version

Availability

I Want It
I Want It

Finding items...

Series
Summary
"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.
Subject(s)
Note
"January 2005."
Bibliography Note
Includes bibliographical references (pages 11-12).
Other Forms
Also available in PDF from the NBER world wide web site (www.nber.org).
View MARC record | catkey: 2806501