01804cas a2200253 a 4500 AALejournalIMF011363 230101c9999 xx r poo 0 0eng d 5.00 USD 9781463923891 1018-5941 BD-DhAAL BD-DhAAL Reichsfeld, David. Do Commodity Futures Help Forecast Spot Prices? / David Reichsfeld, Shaun Roache. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (25 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 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. Mode of access: Internet Roache, Shaun. IMF Working Papers; Working Paper ; No. 2011/254 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/254/001.2011.issue-254-en.xml IMF e-Library