Canadian Books & Public Policy
Search|Results
Search|Results
Item(s) added to cart!
EN
FR
Advanced Search
All of these
Any of these
As a phrase
Excluded from
Within
Keyword anywhere
Full Text
Title
Contributor
Publisher or Imprint
Subjects
Series
Genre
Prize
desLibris ID
ISBN13
And
Or
Not
All of these
Any of these
As a phrase
Excluded from
Within
Keyword anywhere
Full Text
Title
Contributor
Publisher or Imprint
Subjects
Series
Genre
Prize
desLibris ID
ISBN13
And
Or
Not
All of these
Any of these
As a phrase
Excluded from
Within
Keyword anywhere
Full Text
Title
Contributor
Publisher or Imprint
Subjects
Series
Genre
Prize
desLibris ID
ISBN13
And
Or
Not
All of these
Any of these
As a phrase
Excluded from
Within
Keyword anywhere
Full Text
Title
Contributor
Publisher or Imprint
Subjects
Series
Genre
Prize
desLibris ID
ISBN13
Include in search:
All Documents
All Books
All Magazines
Include only titles available in fulltext
Exclude Promotional Listings
Restrict search to only titles where full MARC is Available
Year of publication:
Year
All years
Current year
Last year
Last 5 years
Last 10 years
From
To
Search
Reset
Advanced Search Tips
External search:
desLibris (default)
Internet Archive (External)
Open Library (External)
THE SEARCH WILL BE APPLIED TO THIS DATABASE ONLY
Toggle Search History
Search History
View saved searches
View alerts
Delete selected searches
Delete all searches
Save search
Create alert
Search ID
Search criteria
Actions
Return to search results
Share Link to Book
Cite Book
Add to Bookshelf
This option is available to patrons or personal accounts holders only.
See more detail.
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Christiane Baumeister
Availability
This book is available in preview mode only.
Licenses available:
Subscription
Perpetual SUPO
Perpetual MUPO
To gain full access:
Access to book through a subscribing library
Open a free personal account to purchase
Place book in cart to purchase
$
5.00
Read Preview Online
Enter your access code
Access code:
Redeem code
Description
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting the futures price by the estimated risk premium, a common problem is that there are as many measures of the market expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the most accurate estimate of the expectation for any set of risk premium estimates. We illustrate this approach by solving the long-standing problem of how to estimate the market expectation of the price of crude oil. We provide a new measure of oil price expectations that is substantially more accurate than the alternatives and more economically plausible. Our analysis has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting and for the measurement of oil price shocks.
Other ways to get this book
Recommendations
More from this publisher
More from this contributor
Book Details
Title
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Contributors
Christiane Baumeister
Publisher
Bank of Canada
Publication date
2016-01-01
Pages
50
FED-CAT-NO
FB3-5/2016-18E-PDF
Series
Staff Working Paper
Subjects
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
×/strong>
×
MUPO
$
SUPO
$
/ user X
$
Share this book
×
Copy link
Press
CTRL-C
to copy
{1}
##LOC[OK]##
{1}
##LOC[OK]##
##LOC[Cancel]##
{1}
##LOC[OK]##
##LOC[Cancel]##
On this public site, books and documents are presented only as previews. To gain access to complete books and documents, visit desLibris through the discovery portal of a member library, or take out an individual membership. Click on “More details” to find the book in bookstore or library.
Find:
Previous
Next
Highlight all
Match case
Presentation Mode
Print
Go to First Page
Go to Last Page
Enable hand tool
Toggle Sidebar
Find
Previous
Next
Page:
Presentation Mode
Print
Tools
Zoom Out
Zoom In
Automatic Zoom
Actual Size
Fit Page
Full Width
50%
75%
100%
125%
150%
200%
300%
400%
More Information
Less Information
Close
Preparing document for printing...
0%