Pontificia Universidad Católica de Chile Pontificia Universidad Católica de Chile
Cortázar G., Millard C., Ortega H. and Schwartz E.S. (2019)

Commodity Price Forecasts, Futures Prices and Pricing Models

Revista : Management Science
Volumen : 65
Número : 9
Páginas : 4141-4155
Tipo de publicación : ISI


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, does not alter significantly the short/medium part of the futures curve, but does have a significant effect on long-term futures estimations.