Do Commodity Futures Help Forecast Spot Prices?

26 Pages Posted: 8 Nov 2011

See all articles by Shaun K. Roache

Shaun K. Roache

International Monetary Fund (IMF)

David A Reichsfeld

affiliation not provided to SSRN

Date Written: November 2011


We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures’ forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.

Keywords: Commodity markets, Commodity prices, Economic forecasting, Forecasting models

Suggested Citation

Roache, Shaun K. and Reichsfeld, David A, Do Commodity Futures Help Forecast Spot Prices? (November 2011). IMF Working Paper No. 11/254, Available at SSRN:

Shaun K. Roache (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

David A Reichsfeld

affiliation not provided to SSRN

No Address Available

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