On the information content of oil future prices
This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2003-02-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/220077 |
| _version_ | 1797394872227856384 |
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| author | Benjamin Miranda Tabak |
| author_facet | Benjamin Miranda Tabak |
| author_sort | Benjamin Miranda Tabak |
| collection | DOAJ |
| description |
This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.
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| first_indexed | 2024-03-09T00:26:03Z |
| format | Article |
| id | doaj.art-283c060d9d984dbabaf53403b108e0b3 |
| institution | Directory Open Access Journal |
| issn | 1413-8050 1980-5330 |
| language | Portuguese |
| last_indexed | 2024-03-09T00:26:03Z |
| publishDate | 2003-02-01 |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Economia Aplicada |
| spelling | doaj.art-283c060d9d984dbabaf53403b108e0b32023-12-12T04:14:26ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302003-02-0171On the information content of oil future pricesBenjamin Miranda Tabak0Banco Central do Brasil This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected. https://www.revistas.usp.br/ecoa/article/view/220077information contentBrent Crudeoil pricesfuturescointegration |
| spellingShingle | Benjamin Miranda Tabak On the information content of oil future prices Economia Aplicada information content Brent Crude oil prices futures cointegration |
| title | On the information content of oil future prices |
| title_full | On the information content of oil future prices |
| title_fullStr | On the information content of oil future prices |
| title_full_unstemmed | On the information content of oil future prices |
| title_short | On the information content of oil future prices |
| title_sort | on the information content of oil future prices |
| topic | information content Brent Crude oil prices futures cointegration |
| url | https://www.revistas.usp.br/ecoa/article/view/220077 |
| work_keys_str_mv | AT benjaminmirandatabak ontheinformationcontentofoilfutureprices |