TY  - JOUR
AU  - Chinn,Menzie D.
AU  - Coibion,Olivier
TI  - The Predictive Content of Commodity Futures
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15830
PY  - 2010
Y2  - March 2010
UR  - http://www.nber.org/papers/w15830
L1  - http://www.nber.org/papers/w15830.pdf
N1  - Author contact info:
Menzie D. Chinn
Department 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
640 John Carlyle, #107
Alexandria, VA 22314
Tel: 734-834-3279
E-Mail: ocoibion@gmail.com
AB  - This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity markets. This difference appears to be driven in part by the depth of each market. We find that over the last five years, it is much harder to reject the null of futures prices being unbiased predictors of future spot prices than in earlier periods for almost all commodities. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly outperform a reduced form empirical model.
ER  -