| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22991 |
| 来源ID | Working Paper 22991 |
| Commodity Price Forecasts, Futures Prices and Pricing Models | |
| Gonzalo Cortazar; Cristobal Millard; Hector Ortega; Eduardo S. Schwartz | |
| 发表日期 | 2017-01-09 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 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. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w22991 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580688 |
| 推荐引用方式 GB/T 7714 | Gonzalo Cortazar,Cristobal Millard,Hector Ortega,et al. Commodity Price Forecasts, Futures Prices and Pricing Models. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22991.pdf（604KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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