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1、WP/04/41ForecastingCommodityPrices:FuturesVersusJudgmentChakriyaBowmanandAasimM.Husain©2004InternationalMonetaryFundWP/04/41IMFWorkingPaperResearchDepartment1ForecastingCommodityPrices:FuturesVersusJudgmentPreparedbyChakriyaBowmanandAasimM.HusainMarch2004AbstractThisWorki
2、ngPapershouldnotbereportedasrepresentingtheviewsoftheIMF.TheviewsexpressedinthisWorkingPaperarethoseoftheauthor(s)anddonotnecessarilyrepresentthoseoftheIMForIMFpolicy.WorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtofurtherdebate.Th
3、ispaperassessestheperformanceofthreetypesofcommoditypriceforecasts—thosebasedonjudgment,thoserelyingexclusivelyonhistoricalpricedata,andthoseincorporatingpricesimpliedbycommodityfutures.Formostofthe15commoditiesinthesample,spotandfuturespricesappeartobenonstationaryandtof
4、ormacointegratingrelation.Spotpricestendtomovetowardfuturespricesoverthelongrun,anderror-correctionmodelsexploitingthisfeatureproducemoreaccurateforecasts.Theanalysisindicatesthatonthebasisofstatistical-anddirectional-accuracymeasures,futures-basedmodelsyieldbetterforecas
5、tsthanhistorical-data-basedmodelsorjudgment,especiallyatlongerhorizons.JELClassificationNumbers:E37,G13,O13Keywords:Commodityprices,futures,cointegration,errorcorrection,forecastAuthor’sE-MailAddresses:chakriya.bowman@absalom.com.au;ahusain@imf.org1Theauthorswouldliketoth
6、ank,withoutimplicating,PaulCashin,DavidHallam,SamOuliaris,GeorgeRapsomanikis,andparticipantsattheSymposiumonStateofResearchandFutureDirectionsinAgriculturalCommodityMarketsandTrade,organizedbytheFoodandAgricultureOrganization,forextremelyhelpfulcommentsonearlierdraftsofth
7、epaper.Thepaperistobepublishedinasymposiumproceedingsvolume.-2-ContentsPageI.Introduction............................................................................................................................3II.CommodityPriceDevelopments:SomeFacts...................
8、...................................................4III.StationarityandCointegration............
