NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Menzie D. Chinn, Michael LeBlanc, Olivier Coibion

NBER Working Paper No. 11033
Issued in January 2005
NBER Program(s):   IFM   AP

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.

download in pdf format
   (197 K)

email paper

This paper is available as PDF (197 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Users who downloaded this paper also downloaded these:
Chinn and Coibion w15830 The Predictive Content of Commodity Futures
Hamilton w14492 Understanding Crude Oil Prices
Davis and Muehlegger w15885 Do Americans Consume Too Little Natural Gas? An Empirical Test of Marginal Cost Pricing
Gorton, Hayashi, and Rouwenhorst w13249 The Fundamentals of Commodity Futures Returns
Heal w15081 The Economics of Renewable Energy
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us