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Commodity Price Forecasting Models

This document summarizes three studies on commodity prices and markets. The first study by Cortazar et al. forecasts oil spot prices using a model that fits futures price term structures and dynamics. The second study by Fernandez et al. finds strong co-movement between commodity prices and macro variables in emerging economies, with a spillover effect from commodity prices to interest rates. The third study by Zhao and Wan examines China's emerging commodity futures market and finds it is abnormally dominated by transitory rather than informational volatility, with different effects from institutional and individual trading on intraday prices.

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Seeboli Ghosh
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63 views1 page

Commodity Price Forecasting Models

This document summarizes three studies on commodity prices and markets. The first study by Cortazar et al. forecasts oil spot prices using a model that fits futures price term structures and dynamics. The second study by Fernandez et al. finds strong co-movement between commodity prices and macro variables in emerging economies, with a spillover effect from commodity prices to interest rates. The third study by Zhao and Wan examines China's emerging commodity futures market and finds it is abnormally dominated by transitory rather than informational volatility, with different effects from institutional and individual trading on intraday prices.

Uploaded by

Seeboli Ghosh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Cortazar(2019) try to forecasts of oil spot prices their model forecasts oil prices and can be used,

either alone or jointly with futures data. Their model has been successful in fitting the term
structure of futures prices and its dynamics. Current study similarly looks at both futures and
spot price data in predicting expected spot price of nine commodities.
Fernandez (2018) demonstrate strongco-movementcommodity prices with other macro variables
along the business cycle of that particular emerging economies. They observe a “spillover” effect
from commodity prices to interest rates in the market. 
Zhao & Wan (2018) looks at china as emerging market and their study shows that the
entire market is abnormally dominated by transitory volatility instead of informational volatility.
They compared the effects of institutional and individual trading on intraday price processes
inthe emerging commodity futures market of China

Bibliography:
Cortazar, G., Millard, C., Ortega, H., & Schwartz, E. S. (2019). Commodity Price Forecasts,
Futures Prices, and Pricing Models. Management Science
Fernández, A. a., González, A., & Rodríguez, D. (2018). Sharing a ride on the commodities
roller coaster: Common factors in business cycles of emerging economies. Journal of
International Economics.

Zhao, Y., & Wan, D. (2018). Institutional high frequency trading and price discovery: Evidence
from an emerging commodity futures market. Journal of Futures Markets.

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