Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market

This paper compares the accuracy of major commercial price forecasts for corn, wheat, soybeans, soybean oil, soybean meal, cotton, live cattle, and hogs. The price-forecasting information in futures prices is evaluated by comparison. The results among commercial forecasters are mixed, but futures prices perform relatively better on average although not universally so. These results have important implications for operational risk management. Key words: futures prices, price forecasting. Commercial forecasts of spot prices in agricul-tural commodity markets have been available since 1976. These forecasts are produced quarterly, refer to specific cash markets, and cover a number of commodities. The firms that generate and sell these forecasts, largely to agribusiness companies, include Chas