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Can Commodity Futures Prices Forecast Future Spot Prices?

Language EnglishEnglish
Book Paperback
Book Can Commodity Futures Prices Forecast Future Spot Prices? Manuel Fuchs
Libristo code: 06843630
Publishers VDM Verlag, July 2011
Commodity futures prices are widely used as a tool for forecasting and predicting future commodity s... Full description
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Commodity futures prices are widely used as a tool for forecasting and predicting future commodity spot prices. Indeed, commodity futures prices do have certain forecasting power. However, their explanation power is strongly limited. In particular, this thesis tests whether WTI and Brent crude oil futures prices can forecast future spot prices accurately. Based on economic theory and two conflicting research views, we apply an OLS regression in order to show the empirical poorness of WTI and Brent crude oil futures prices as forecasting agents of future spot prices. In addition, we reject the null hypothesis of an unbiased and efficient market for the majority of the analyzed WTI and Brent futures contracts. We provide both theoretical and empirical evidence indicating that WTI and Brent futures prices cannot forecast future spot prices accurately.

About the book

Full name Can Commodity Futures Prices Forecast Future Spot Prices?
Author Manuel Fuchs
Language English
Binding Book - Paperback
Date of issue 2011
Number of pages 68
EAN 9783639368642
ISBN 3639368649
Libristo code 06843630
Publishers VDM Verlag
Weight 113
Dimensions 152 x 229 x 4

Categories

Economics, Finance, Business & Management > Economics
Economics, Finance, Business & Management > Business & Management
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