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Book Cover
E-book
Author Bowman, Chakriya, author.

Title Forecasting commodity prices : futures versus judgment / prpeared by Chakirya Bowman and Aasim M. Husain
Published [Washington, D.C.] : International Monetary Fund, ©2004

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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