Forecasting Commodity Prices: Futures Versus Judgment.pdf

Forecasting Commodity Prices: Futures Versus Judgment false
By:Chakriya Bowman,Aasim M. Husain
Published on 2004-03-01 by International Monetary Fund


This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.

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