Pontificia Universidad Católica de Chile
Institutional Affiliation: Pontificia Universidad Católica de Chile
NBER Working Papers and Publications
|December 2016||Commodity Price Forecasts, Futures Prices and Pricing Models|
with Gonzalo Cortazar, Cristobal Millard, Eduardo S. Schwartz: w22991
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...
Published: Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2019. "Commodity Price Forecasts, Futures Prices, and Pricing Models," Management Science, vol 65(9), pages 4141-4155.