On the information content of oil future prices
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/220077 |
Resumo: | 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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USP-21 |
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Economia Aplicada |
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On the information content of oil future pricesinformation contentBrent Crudeoil pricesfuturescointegrationThis 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.Universidade de São Paulo, FEA-RP/USP2003-02-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/22007710.11606/1413-8050/ea220077Economia Aplicada; Vol. 7 Núm. 1 (2003); 111-131Economia Aplicada; Vol. 7 No. 1 (2003); 111-131Economia Aplicada; v. 7 n. 1 (2003); 111-1311980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/220077/200895Copyright (c) 2003 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessTabak, Benjamin Miranda 2023-12-11T18:30:06Zoai:revistas.usp.br:article/220077Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-11T18:30:06Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
On the information content of oil future prices |
title |
On the information content of oil future prices |
spellingShingle |
On the information content of oil future prices Tabak, Benjamin Miranda information content Brent Crude oil prices futures cointegration |
title_short |
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_sort |
On the information content of oil future prices |
author |
Tabak, Benjamin Miranda |
author_facet |
Tabak, Benjamin Miranda |
author_role |
author |
dc.contributor.author.fl_str_mv |
Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
information content Brent Crude oil prices futures cointegration |
topic |
information content Brent Crude oil prices futures cointegration |
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. |
publishDate |
2003 |
dc.date.none.fl_str_mv |
2003-02-07 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/220077 10.11606/1413-8050/ea220077 |
url |
https://www.revistas.usp.br/ecoa/article/view/220077 |
identifier_str_mv |
10.11606/1413-8050/ea220077 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/220077/200895 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2003 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2003 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
dc.source.none.fl_str_mv |
Economia Aplicada; Vol. 7 Núm. 1 (2003); 111-131 Economia Aplicada; Vol. 7 No. 1 (2003); 111-131 Economia Aplicada; v. 7 n. 1 (2003); 111-131 1980-5330 1413-8050 reponame:Economia Aplicada instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Economia Aplicada |
collection |
Economia Aplicada |
repository.name.fl_str_mv |
Economia Aplicada - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
||revecap@usp.br |
_version_ |
1800221693606625280 |