Futures Prices are Useful Predictors of the Spot Price of Crude Oil
研究发现，与普遍看法相反，期货价格能显著提高原油现货价格的月度预测准确性，尤其是2000年代中期以来长期期货价格预测能力增强，且使用月末价格构建的期货曲线能大幅改善短期预测。
How well do futures prices forecast the spot price of crude oil? Contrary to the established view, futures prices significantly improve upon the accuracy of monthly no-change forecasts. This results from two innovations. First, we document that independent of the construction of futures-based forecasts, longer-horizon futures prices have become better predictors of crude oil spot prices since the mid-2000s. Second, we show that futures curves constructed using end-of-month prices instead of average prices have consistently been able to generate large accuracy-improvements for short-horizon forecasts of average prices. These findings are remarkably robust and apply to all major crude oil benchmarks.