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The Predictive Content of Commodity Futures


  • We thank Jonathan McBride for assistance with the data as well as Ron Alquist, Yuriy Gorodnichenko, James Hamilton and two anonymous referees for very helpful comments. Chinn acknowledges the financial support of the University of Wisconsin Center for World Affairs and the Global Economy. This paper was written in part while Coibion was a visiting scholar at the International Monetary Fund, whose support and hospitality has been greatly appreciated. The views expressed in the paper should not be interpreted as representing those of the IMF or any other institution with which the authors are affiliated.
  • JEL Classification: G13, Q43


This study examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities. In particular, we examine whether futures prices are (1) unbiased and/or (2) accurate predictors of subsequent prices. We document significant differences both across and within commodity groups. Precious and base metals fail most tests of unbiasedness and are poor predictors of subsequent price changes but energy and agricultural futures fare much better. We find little evidence that these differences reflect liquidity conditions across markets. In addition, we document a broad decline in the predictive content of commodity futures prices since the early 2000s. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:607–636, 2014

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