Robert M. La Follette School of Public Affairs

The Predictive Content of Commodity Futures

In their examination of the predictive content of futures prices for energy, agricultural, precious and base metal commodities, the authors find little evidence that differences across and within commodity groups reflect liquidity conditions across markets. In addition, they document a broad decline in the predictive content of commodity futures prices since the early 2000s.

Additional Info

  • Volume or issue no.: La Follette School Working Paper No. 2013-001 is forthcoming in Journal of Futures Markets
  • Author(s): Menzie D. Chinn and Olivier Coibion