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

Abstract

Abstract 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.