Commodity Price Forecasts, Futures Prices, and Pricing Models

• 成果类型: Article
• 署名作者: Cortazar, Gonzalo; Millard, Cristobal; Ortega, Hector; Schwartz, Eduardo S.
• 署名单位: Pontificia Universidad Catolica de Chile; Simon Fraser University; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3035
• 发表日期: 2019
• 页码: 4141-4155
• 关键词: FUTURES PRICES; analysts' forecasts; oil markets

摘要

Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts' forecasts of oil spot prices. We conclude that to obtain reasonable expected spot curves, analysts' forecasts should be used, either alone or jointly with futures data. The use of both futures and forecasts, instead of using only forecasts, generates expected spot curves that do not differ considerably in the short/medium term, but long term estimations are significantly different. The inclusion of analysts' forecasts in addition to futures, instead of only futures prices, does not alter significantly the short/medium part of the futures curve but does have a significant effect on long-term futures estimations.