Commodity Price Forecasts, Futures Prices, and Pricing Models
提出一种新方法，利用分析师预测和期货价格共同校准商品定价模型，发现结合两者能更合理估计长期预期现货曲线，对金融从业者和研究者有参考价值。
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. This paper was accepted by Gustavo Manso, finance.