Crude oil: Does the futures price predict the spot price?

被引：16

作者：

Chu, Pyung Kun ^{[1
]}

Hoff, Kristian ^{[2
]}

Molnar, Peter ^{[2
,3
,4
,5
]}

Olsvik, Magnus ^{[2
]}

机构：

[1] Sejong Univ, Seoul, South Korea

[2] Norwegian Univ Sci & Technol, Trondheim, Norway

[3] Univ Stavanger, Stavanger, Norway

[4] Nicolaus Copernicus Univ Torun, Torun, Poland

[5] Prague Univ Econ & Business, Prague, Czech Republic

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2022年 / 60卷

关键词：

Crude oil; Spot price; Futures price; Forecasting; COMMODITY FUTURES; REAL PRICE; FORECASTS; ACCURACY;

D O I：

10.1016/j.ribaf.2021.101611

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the predictability of the Brent crude oil price. In accordance with previous literature, we find that the simple no-change forecast works better than forecasts based on futures prices over short-term horizons (less than one year). However, futures-based forecasts perform better than the no-change forecast across long-term horizons (one to five years). Moreover, the best performing model is a model that imposes very little structure on the relationship between spot and futures prices.

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页数：7

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