THE PREDICTIVE CONTENT OF COMMODITY FUTURES

This study examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities. In particular, we examine whether futures prices are (1) unbiased and/or (2) accurate predictors of subsequent prices. We document significant differences both across and within commodity groups. Precious and base metals fail most tests of unbiasedness and are poor predictors of subsequent price changes but energy and agricultural futures fare much better. We find little evidence that these differences reflect liquidity conditions across markets. In addition, we document a broad decline in the predictive content of commodity futures prices since the early 2000s. (C) 2013 Wiley Periodicals, Inc.