01799cas a2200253 a 4500 AALejournalIMF002886 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451846133 1018-5941 BD-DhAAL BD-DhAAL Husain, Aasim. Forecasting Commodity Prices : Futures Versus Judgment / Aasim Husain, Chakriya Bowman. Washington, D.C. : International Monetary Fund, 2004. 1 online resource (28 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper assesses the performance of three types of commodity price forecasts-those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons. Mode of access: Internet Bowman, Chakriya. IMF Working Papers; Working Paper ; No. 2004/041 Full text available on IMF http://elibrary.imf.org/view/journals/001/2004/041/001.2004.issue-041-en.xml IMF e-Library