Menzie Chinn
Professor of Public Affairs and Economics
Robert M. La Follette School of Public Affairs
Articles by this Author
The Predictive Characteristics of Energy Futures: Recent Evidence for Crude Oil, Natural Gas, Gasoline and Heating Oil
- By Menzie Chinn
- Published 10/1/2007
- Price modeling
- Unrated
Keywords: futures, energy, forecasting, efficient markets hypothesis
Published in:
Publication year: 2001
Co-author 1: Michael LeBlanc
Co-author 2: Olivier Coibion
This paper examines the relationship between futures and spot prices for energy commodities. In particular, we examine whether futures prices are (1) an unbiased predictor of subsequent spot prices and (2) whether futures prices are a good predictor of subsequent spot prices, in the crude oil, gasoline, heating oil markets and natural gas markets. We find that while futures prices are unbiased predictors of future spot prices in the first three markets, they are also fairly inaccurate predictors. Natural gas futures prices are both a biased predictor of subsequent spot prices at two of three horizons examined, and a poor predictor.
Published in:
Publication year: 2001
Co-author 1: Michael LeBlanc
Co-author 2: Olivier Coibion
This paper examines the relationship between futures and spot prices for energy commodities. In particular, we examine whether futures prices are (1) an unbiased predictor of subsequent spot prices and (2) whether futures prices are a good predictor of subsequent spot prices, in the crude oil, gasoline, heating oil markets and natural gas markets. We find that while futures prices are unbiased predictors of future spot prices in the first three markets, they are also fairly inaccurate predictors. Natural gas futures prices are both a biased predictor of subsequent spot prices at two of three horizons examined, and a poor predictor.
