TY  - JOUR
AU  - Chinn,Menzie D.
AU  - LeBlanc,Michael
AU  - Coibion,Olivier
TI  - The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11033
PY  - 2005
Y2  - January 2005
UR  - http://www.nber.org/papers/w11033
L1  - http://www.nber.org/papers/w11033.pdf
N1  - Author contact info:
Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu

Olivier Coibion
Department of Economics
College of William and Mary
115 Morton Hall
Williamsburg, VA 23188
Tel: 757/221-1389
E-Mail: ocoibion@wm.edu
AB  - 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.
ER  -