Description |
1 online resource (27 pages) : illustrations |
Series |
IMF working paper ; WP/04/41 |
|
IMF working paper ; WP/04/41.
|
Contents |
Contents -- I. INTRODUCTION -- II. COMMODITY PRICE DEVELOPMENTS: SOME FACTS -- III. STATIONARITY AND COINTEGRATION -- IV. FORECASTING MODELS -- V. ASSESSING FORECAST PERFORMANCE -- VI. DATA -- VII. RESULTS -- VIII. CONCLUSION -- REFERENCES |
Summary |
Annotation This paper assesses the performance of three types of commodity price forecaststhose 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 |
Bibliography |
Includes bibliographical references (pages 25-27) |
Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
|
Print version record |
Subject |
Commodity futures -- Prices -- Forecasting
|
|
Prices -- Forecasting -- Mathematical models
|
Form |
Electronic book
|
Author |
Husain, Aasim, author
|
|
International Monetary Fund. Research Department, issuing body.
|
ISBN |
1451893361 |
|
9781451893366 |
|
1281405698 |
|
9781281405692 |
|
9781451846133 |
|
1451846134 |
|