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Research Papers in Economics
Preprint . 2005
Full-Text: http://www.nber.org/papers/w11033.pdf
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The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

descriptionPublicationkeyboard_double_arrow_right Preprint 01 Jan 2005
Authors: Menzie D. Chinn; Michael LeBlanc; Olivier Coibion;

The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

Abstract

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.

Keywords

jel: jel:Q43, jel: jel:G13

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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