Working Paper: NBER ID: w11033
Authors: Menzie D. Chinn; Michael LeBlanc; Olivier Coibion
Abstract: 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.
Keywords: energy futures; spot prices; predictive accuracy; market efficiency
JEL Codes: G13; Q43
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Futures prices (G13) | Future spot prices (G13) |
| Futures prices (G13) | Future spot prices (natural gas) (Q47) |
| Futures prices (G13) | Price changes (natural gas) (Q31) |
| Basis (Y20) | Future spot price changes (G13) |