The predictive content of energy futures: an update on petroleum, natural gas, heating oil and gasoline
"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 whi...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11033 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "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. |
| Physical Description: | 13, 4 S. graph. Darst. |
Staff View
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| id | DE-604.BV019884474 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:08:22Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013208564 |
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| physical | 13, 4 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Chinn, Menzie David Verfasser (DE-588)124080545 aut The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline Menzie D. Chinn ; Michael LeBlanc ; Olivier Coibion Cambridge, Mass. National Bureau of Economic Research 2005 13, 4 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11033 "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. Ökonometrisches Modell Futures Petroleum products Prices Econometric models LeBlanc, Michael R. Verfasser (DE-588)129752517 aut Coibion, Olivier 1977- Verfasser (DE-588)129752525 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11033 (DE-604)BV002801238 11033 http://papers.nber.org/papers/w11033.pdf kostenfrei Volltext |
| spellingShingle | Chinn, Menzie David LeBlanc, Michael R. Coibion, Olivier 1977- The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Futures Petroleum products Prices Econometric models |
| title | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline |
| title_auth | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline |
| title_exact_search | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline |
| title_full | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline Menzie D. Chinn ; Michael LeBlanc ; Olivier Coibion |
| title_fullStr | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline Menzie D. Chinn ; Michael LeBlanc ; Olivier Coibion |
| title_full_unstemmed | The predictive content of energy futures an update on petroleum, natural gas, heating oil and gasoline Menzie D. Chinn ; Michael LeBlanc ; Olivier Coibion |
| title_short | The predictive content of energy futures |
| title_sort | the predictive content of energy futures an update on petroleum natural gas heating oil and gasoline |
| title_sub | an update on petroleum, natural gas, heating oil and gasoline |
| topic | Ökonometrisches Modell Futures Petroleum products Prices Econometric models |
| topic_facet | Ökonometrisches Modell Futures Petroleum products Prices Econometric models |
| url | http://papers.nber.org/papers/w11033.pdf |
| volume_link | (DE-604)BV002801238 |
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