Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 18, 2013 erstellt
Description:
This paper investigates the forecastability of prices and returns in commodity futures markets. To examine the implications for models of commodity prices we derive a new canonical affine form that lends itself to model evaluation and comparison. Both regressions and model estimates imply that effectively all variation in the term structure of futures prices is due to time varying risk premiums and none to price forecasts. The model estimates further suggest that the economic quantity that links futures prices to storage -- the cost of carry -- is pinned down unambiguously by the data