Out‐of‐sample testing price discovery in commodity markets: the case of soybeans |
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Authors: | Hildegart Ahumada Magdalena Cornejo |
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Affiliation: | 1. Torcuato Di Tella University, Buenos Aires, Argentina;2. University of Buenos Aires, Buenos Aires, Argentina |
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Abstract: | Price discovery, a central function of futures markets, has been usually tested in‐sample by studying the common stochastic trend between spot and futures prices. Instead, to evaluate futures as anticipatory prices, we develop a forecast approach to out‐of‐sample test price discovery in a multivariate framework. We apply it to the soybeans market. Results indicate futures prices as the best available “predictors” of future spot prices, although this finding holds only on average and for certain periods, other models show forecasting gains. |
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Keywords: | C53 Q11 Out‐of‐sample Commodity price‐discovery Forecasts Soybeans Impulse saturation |
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