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The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
SGH Warsaw Sch Econ, Poland.
SGH Warsaw Sch Econ, Poland.
SGH Warsaw Sch Econ, Poland.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2020 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 24, no 5, article id 20190068Article in journal (Refereed) Published
Abstract [en]

This study examines whether threshold models allow to better understand the dynamic relationship between spot and futures prices for crude oil and natural gas. Our findings are threefold. First, we show that the futures curve delivers relatively accurate forecasts for energy commodity prices. Second, we provide evidence that the relationship between spot and futures prices is regime dependent but accounting for this property does not improve the quality of out-of-sample forecasts. Third, we demonstrate that using information on the dynamics of financial variables (exchange rates, stock and uncertainty indices, interest rates or industrial and precious metal prices) does not contribute to the quality of futures-based forecasts. This suggests that the predictive content of these variables is already contained in futures prices.

Place, publisher, year, edition, pages
WALTER DE GRUYTER GMBH , 2020. Vol. 24, no 5, article id 20190068
Keywords [en]
energy commodity prices; forecasting; futures markets; threshold models
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-172425DOI: 10.1515/snde-2019-0068ISI: 000600062900006OAI: oai:DiVA.org:liu-172425DiVA, id: diva2:1515584
Note

Funding Agencies|National Science CentreNational Science Center, PolandNational Science Centre, Poland [2017/25/B/HS4/00156]; Jan Wallander and Tom Hedelius Foundations

Available from: 2021-01-10 Created: 2021-01-10 Last updated: 2021-01-10

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
  • en-GB
  • en-US
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  • nn-NB
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  • Other locale
More languages
Output format
  • html
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  • asciidoc
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