predictive content of energy futures
Subtitle: an update on petroleum, natural gas, heating oil and gasoline
By: Menzie D. Chinn, Michael LeBlanc, Olivier Coibion.
Contributors: LeBlanc, Michael R.; Coibion, Olivier.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 11033.; Working paper series (National Bureau of Economic Research) -- working paper no. 11033.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 13
Subjects: Petroleum products -- Prices -- Econometric models; Futures
Description: "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.
Notes: "January 2005."

Includes bibliographical references (p. 11-12).

Also available in PDF from the NBER world wide web site (www.nber.org).