275
Views
2
CrossRef citations to date
0
Altmetric
Research Articles

Futures crude oil prices as predictors of spot prices: lessons from the foreign exchange market

References

  • Aggarwal, R., B. M. Lucey, and S. K. Mohanty. 2009. “The Forward Exchange Rate Bias Puzzle is Persistent: Evidence from Stochastic and Nonparametric Cointegration Tests.” Financial Review 44 (4):625–645. doi: 10.1111/j.1540-6288.2009.00233.x.
  • Aggarwal, R., and S. Zong. 2008. “Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and under-Reaction.” Multinational Finance Journal 12 (3/4):241–277. doi: 10.17578/12-3/4-5.
  • Alquist, R., and E. Arbatli. 2010. “Crude Oil Futures: A Crystal Ball?” Bank of Canada Review, Spring, 3–11.
  • Alquist, R., and L. Kilian. 2010. “What Do We Learn from the Price of Crude Oil Futures?” Journal of Applied Econometrics 25 (4):539–573. doi: 10.1002/jae.1159.
  • Bopp, A. E., and G. M. Lady. 1991. “A Comparison of Petroleum Futures versus Spot Prices as Predictors of Prices in the Future.” Energy Economics 13 (4):274–282. doi: 10.1016/0140-9883(91)90007-M.
  • Chatterjee, D. 2010. “Three Essays in Forward Rate Unbiasedness Hypothesi.” PhD Dissertation, Utah State University.
  • Chernenko, S., K. Schwarz, and J. Wright. 2004. “The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk.” International Finance Discussion Paper 2004 (808):1–27. doi: 10.17016/IFDP.2004.808.
  • Chinn, M., and O. Coibion. 2009. “The Predictive Content of Commodity Futures.” La Follette School of Public Affairs Working Paper No. 2009-016, University of Wisconsin, Madison.
  • Chinn, M., M. LeBlanc, and O. Coibion. 2005. “The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline.” National Bureau of Economic Research Working Paper No. 11033, Cambridge, MA.
  • Committeri, M., S. Rossi, and A. Santorelli. 1993. “Tests of Covered Interest Parity on the Euromarket with High-Quality Data.” Applied Financial Economics 3 (1):89–93. doi: 10.1080/758527822.
  • Coulbois, P., and P. Prissert. 1974. “Short Term Capital Flows and Monetary Policy.” De Economist 122 (4):283–308. doi: 10.1007/BF01680112.
  • Cox, D. R. 1961. “Tests of Separate Families of Hypotheses.” In Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol 1. Berkeley: University of California Press.
  • Cox, D. R. 1962. “Further Results on Tests of Separate Families of Hypotheses.” Journal of the Royal Statistical Society: Series B (Methodological) 24 (2):406–424. doi: 10.1111/j.2517-6161.1962.tb00468.x.
  • Davidson, P. 1982. “Rational Expectations: A Fallacious Foundation for Studying Crucial Decision Making Processes.” Journal of Post Keynesian Economics 5 (2):182–198. doi: 10.1080/01603477.1982.11489355.
  • Davidson, R., and J. G. MacKinnon. 1981. “Several Tests for Model Specification in the Presence of Alternative Hypothesis.” Econometrica 49 (3):781. doi: 10.2307/1911522.
  • Engel, C. 1996. “The Forward Discount Anomaly and Risk Premium: A Survey of Recent Evidence.” Journal of Empirical Finance 3 (2):123–191. doi: 10.1016/0927-5398(95)00016-X.
  • Godfrey, L. G., and M. H. Pesaran. 1983. “Test of Non-Nested Regression Models: Small Sample Adjustments and Monte Carlo Evidence.” Journal of Econometrics 21 (1):133–154. doi: 10.1016/0304-4076(83)90123-9.
  • Gulen, S. G. 1998. “Efficiency in the Crude Oil Futures Market.” Journal of Energy Finance and Development 3:13–21.
  • Hansen, L. P., and R. J. Hodrick. 1980. “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis.” Journal of Political Economy 88 (5):829–853. doi: 10.1086/260910.
  • Harvey, A. C. 1989. Forecasting: Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
  • Harvey, J. T. 1998. “The Nature of Expectations in the Foreign Exchange Market: A Test of Competing Theories.” Journal of Post Keynesian Economics 21 (2):181–200. doi: 10.1080/01603477.1998.11490190.
  • Ito, T. 1990. “Foreign Exchange Rate Expectations: Micro Survey Data.” American Economic Review 80:434–449.
  • Knetsch, T. A. 2007. “Forecasting the Price of Crude Oil via Convenience Yield Prediction.” Journal of Forecasting 26 (7):527–549. doi: 10.1002/for.1040.
  • Koopman, S. J., A. C. Harvey, J. A. Doornik, and N. Shephard. 2006. Structural Time Series Analyser, Modeller and Predictor. London: Timberlake Consultants Ltd.
  • Kumar, M. 1992. “The Forecasting Accuracy of Crude Oil Futures Prices.” Staff Papers - International Monetary Fund 39 (2):432–461. doi: 10.2307/3867065.
  • Lavoie, M. 2000. “A Post Keynesian View of Interest Parity Theorems.” Journal of Post Keynesian Economics 23 (1):163–179. doi: 10.1080/01603477.2000.11490276.
  • Lewis, K. K. 1995. “Puzzles in International Financial Markets.” In Handbook of International Economics, edited by G. Grossman and K. Rogoff, vol 3. Amsterdam: North-Holland.
  • Ma, C. 1989. “Forecasting Efficiency of Energy Futures Prices.” Journal of Futures Markets 9 (5):393–419. doi: 10.1002/fut.3990090504.
  • Meese, R. A., and K. Rogoff. 1983. “Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample.” Journal of International Economics 14 (1–2):3–24. doi: 10.1016/0022-1996(83)90017-X.
  • Moosa, I. A. 1999. “Testing the Currency-Substitution Model under the German Hyperinflation.” Journal of Economics 70 (1):61–78. doi: 10.1007/BF01226144.
  • Moosa, I. A. 2000. Exchange Rate Forecasting: Techniques and Applications. London: Macmillan.
  • Moosa, I. A. 2004a. “What is Wrong with Market-Based Forecasting of Exchange Rates?” International Journal of Business and Economics 3:107–121.
  • Moosa, I. A. 2004b. “An Empirical Examination of the Post Keynesian View of Forward Exchange Rates.” Journal of Post Keynesian Economics 24 (3):443–457. doi: 10.1080/01603477.2002.11490335.
  • Moosa, I. A. 2004c. “Is Covered Interest Parity an Arbitrage or a Hedging Condition?” Economia Internazionale 57:189–194.
  • Moosa, I. A. 2013. “Why is It so Difficult to Outperform the Random Walk in Exchange Rate Forecasting?” Applied Economics 45 (23):3340–3346. doi: 10.1080/00036846.2012.709605.
  • Moosa, I. A. 2014. “Direction Accuracy, Forecasting Error and the Profitability of Currency Trading: Simulation-Based Evidence.” Economia Internazionale 68:413–423.
  • Moosa, I. A., and N. E. Al-Loughani. 1994. “Unbiasedness and Time-Varying Risk Premia in the Crude Oil Futures Market.” Energy Economics 16 (2):99–105. doi: 10.1016/0140-9883(94)90003-5.
  • Moosa, I. A., and N. E. Al-Loughani. 1995. “The Effectiveness of Arbitrage and Speculation in the Crude Oil Futures Market.” Journal of Futures Markets 15 (2):167–186. doi: 10.1002/fut.3990150205.
  • Moosa, I. A., and P. Silvapulle. 2000. “The Price-Volume Relationship in the Crude Oil Futures Market: Some Results Based on Linear and Nonlinear Causality Testing.” International Review of Economics & Finance 9 (1):11–30. doi: 10.1016/S1059-0560(99)00044-1.
  • Moosa, I. A., and J. Vaz. 2015. “Directional Accuracy, Forecasting Error and the Profitability of Currency Trading: Model-Based Evidence.” Applied Economics 47 (57):6191–6199. doi: 10.1080/00036846.2015.1068917.
  • Narayan, P. K., S. Narayan, and S. S. Sharma. 2013. “An Analysis of Commodity Markets: What Gain for Investors?” Journal of Banking & Finance 37 (10):3878–3889. doi: 10.1016/j.jbankfin.2013.07.009.
  • Pesaran, M. H. 1974. “On the General Problem of Model Selection.” The Review of Economic Studies 41 (2):153–171. doi: 10.2307/2296710.
  • Quan, J. 1992. “Two-Step Testing Procedure for Price Discovery Role of Futures Prices.” Journal of Futures Markets 12 (2):139–149. doi: 10.1002/fut.3990120203.
  • Samii, M. V. 1992. “Oil Futures and Spot Markets.” OPEC Review 16 (4):409–417. doi: 10.1111/j.1468-0076.1992.tb00441.x.
  • Sánchez, E. R. 2013. “Is the Forward Rate a True Unbiased Predictor of the Future Spot Exchange Rate?” Univerdidad Comlustense Madrid. http://www.ucm.es/data/cont/docs/518-2013-10-23-Renedo13.pdf.
  • Serletis, A. 1991. “Rational Expectations, Risk and Efficiency in Energy Futures Markets.” Energy Economics 13 (2):111–115. doi: 10.1016/0140-9883(91)90042-X.
  • Serletis, A., and D. Banack. 1990. “Market Efficiency and Cointegration: An Application to Petroleum Markets.” Review of Futures Markets 9:373–385.
  • Silvapulle, P., and I. A. Moosa. 1999. “The Relationship between Spot and Futures Prices: Evidence from the Crude Oil Market.” Journal of Futures Markets 19 (2):175–193. doi: 10.1002/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H.
  • Smithin, J. 2003. “Interest Parity, Purchasing Power Parity, “Risk Premia”, and Post Keynesian Economic Analysis.” Journal of Post Keynesian Economics 25:219–235.
  • Taylor, M. P. 1987. “Covered Interest Parity: A High-Frequency, High-Quality Data Study.” Economica 54 (216):429–453. doi: 10.2307/2554178.
  • Waheed, M. 2009. “Forward Rate Unbiased Hypothesis, Risk Premium and Exchange Rate Expectations: Estimates on Pakistan Rupee-US Dollar.” Munich Personal RePEC Archive Paper No. 33167, Munich.
  • Wang, P., and T. Jones. 2002. “Testing for Efficiency and Rationality in Foreign Exchange Markets- A Review of the Literature and Research on Foreign Exchange Market Efficiency and Rationality with Comments.” Journal of International Money and Finance 21 (2):223–239. doi: 10.1016/S0261-5606(01)00042-0.
  • Wu, T., and A. McCallum. 2005. “Do Oil-Futures Prices Help Predict Future Oil Prices?” Federal Reserve Bank of San Francisco Economic Letter No. 2005-38, Federal Reserve Bank of San Francisco, San Francisco.
  • Zhu, Z. 2002. “Time-Varying Forward Bias and the Expected Excess Return.” Journal of International Financial Markets, Institutions and Money 12 (2):119–137. doi: 10.1016/S1042-4431(01)00053-1.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.