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This paper presents a calibration approach that uses oil futures observations and analysts’ forecasts of oil spot prices. The results indicate that using analysts’ forecasts, either alone or jointly with futures data, improves expected spot curves.",{"@graph":63,"@context":118},[64,80,101],{"@type":65,"itemListElement":66},"BreadcrumbList",[67,71,74,77],{"item":68,"name":69,"@type":70,"position":9},"https://docshare.wps.com","Home","ListItem",{"item":72,"name":10,"@type":70,"position":73},"https://docshare.wps.com/template/",2,{"item":75,"name":11,"@type":70,"position":76},"https://docshare.wps.com/template/presentations/",3,{"item":78,"name":59,"@type":70,"position":79},"https://docshare.wps.com/template/commodity-price-forecasts-futures-prices-and-pricing-models-working-paper-22991-abstract/563133/",4,{"url":78,"name":59,"@type":81,"image":82,"author":87,"headline":59,"publisher":90,"fileFormat":93,"inLanguage":57,"description":61,"dateModified":94,"datePublished":95,"encodingFormat":93,"isAccessibleForFree":96,"interactionStatistic":97},"DigitalDocument",{"url":83,"@type":84,"width":85,"height":86},"https://docshare.wps.com/thumbnails/commodity-price-forecasts-futures-prices-and-pricing-models-working-paper-22991-abstract/563133.png","ImageObject",442,249,{"name":88,"@type":89},"Logic","Person",{"url":68,"name":91,"@type":92},"DocShare","Organization","application/pdf","2026-10-22","2026-10-12",true,{"@type":98,"interactionType":99,"userInteractionCount":79},"InteractionCounter",{"@type":100},"ViewAction",{"@type":102,"mainEntity":103},"FAQPage",[104,110,114],{"name":105,"@type":106,"acceptedAnswer":107},"What problem do commodity pricing models have addressed in this paper?","Question",{"text":108,"@type":109},"The paper highlights that even successful models for fitting futures term structures do not generate accurate true distributions of spot prices.","Answer",{"name":111,"@type":106,"acceptedAnswer":112},"How does the proposed approach calibrate commodity pricing models?",{"text":113,"@type":109},"It calibrates the model using both oil futures price observations and analysts’ forecasts of oil spot prices, using the two data sets jointly.",{"name":115,"@type":106,"acceptedAnswer":116},"What is the main conclusion about expected spot curves?",{"text":117,"@type":109},"Reasonable expected spot curves are obtained when analysts’ forecasts are used alone or together with futures data, with smaller differences in the short/medium term but significant differences over the long term.","https://schema.org",{"og:url":78,"og:type":120,"og:title":59,"og:site_name":91,"og:description":61},"article",{"robots":122,"canonical":78},"index,follow",{"doc_id":124,"site_id":56},563133,1792294961,{"code":4,"msg":5,"data":127},{"doc_id":124,"user_id":128,"nickname":88,"user_avatar":129,"doc_module":9,"category_id":8,"category_name":11,"doc_title":59,"doc_description":61,"doc_content":130,"file_id":131,"file_url":132,"file_type":133,"file_size":134,"view_count":79,"is_deleted":4,"is_public":9,"is_downloadable":9,"audit_status":9,"page_count":135,"language":136,"language_code":57,"site_id":56,"html_lang":57,"table_of_contents":137,"faqs":138,"seo_title":139,"seo_description":61,"update_tm":140,"read_time":15},1099513958762,"https://ap-avatar.wpscdn.com/avatar/1000023916a998db790?x-image-process=image/resize,m_fixed,w_180,h_180&k=1784791008015729253","NBER WORKING PAPER SERIES  \nCOMMODITY PRICE FORECASTS, FUTURES PRICES AND PRICING MODELS  \nGonzalo Cortazar  \nCristobal Millard  \nHector Ortega  \nEduardo S. Schwartz  \nWorking Paper 22991  \n[http://www.nber.org/papers/w22991](http://www.nber.org/papers/w22991)  \nNATIONAL BUREAU OF ECONOMIC RESEARCH  \n1050 Massachusetts Avenue  \nCambridge, MA 02138  \nDecember 2016  \nWe acknowledge helpful comments from Tomas Reyes and Philip Liedtke. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.  \nNBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.  \n© 2016 by Gonzalo Cortazar, Cristobal Millard, Hector Ortega, and Eduardo S. Schwartz. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.  \nCommodity Price Forecasts, Futures Prices and Pricing Models  \nGonzalo Cortazar, Cristobal Millard, Hector Ortega, and Eduardo S. Schwartz NBER Working Paper No. 22991  \nDecember 2016 JEL No. G13,G17  \nABSTRACT  \nEven though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts’ forecasts of oil spot prices.  \nWe conclude that to obtain reasonable expected spot curves, analysts’ forecasts should be used, either alone, or jointly with futures data. The use of both futures and forecasts, instead of using only forecasts, generates expected spot curves that do not differ considerably in the short/medium term, but long term estimations are significantly different. The inclusion of analysts’ forecasts, in addition to futures, instead of only futures prices, does not alter significantly the short/medium part of the futures curve, but does have a significant effect on long-term futures estimations.  \nGonzalo Cortazar  \nPontificia Universidad Católica de Chile Santiago, Chile  \n[gcortaza@ing.puc.cl](gcortaza@ing.puc.cl)  \nCristobal Millard  \nPontificia Universidad Católica de Chile Santiago, Chile [millardcristobal@gmail.com](millardcristobal@gmail.com)  \nHector Ortega  \nPontificia Universidad Católica de Chile Santiago, Chile [hortega@riskamerica.com](hortega@riskamerica.com)  \nEduardo S. Schwartz  \nAnderson Graduate School of Management UCLA  \n110 Westwood Plaza Los Angeles, CA 90095 and NBER  \neduardo.schwartz@anderson.ucla.edu  \n1. Introduction  \nOver the last decades, commodity pricing models have been very successful in fitting the term structure of futures prices and its dynamics. These models make a wide variety of assumptions about the number of underlying risk factors, and the drift and volatility of these factors. [Gibson, R. & Schwartz, E.S. (1990); Schwartz, E.S. (1997); Schwartz, E.S. & Smith, J. (2000); Cortazar, G. & Schwartz, E.S. (2003); Cortazar, G. & Naranjo, L. (2006); Casassus, J. & Collin-Dufresne, P. (2005); Cortazar, G., & Eterovic, F. (2010); Heston, S. L. (1993); Duffie, D., J. Pan, & K. Singleton (2000); Trolle, A. B. & Schwartz, E. S. (2009); Chiang, I., Ethan, H., Hughen, W. K., & Sagi, J. S. (2015).]  \nThe performance of commodity pricing models is commonly assessed by how well these models fit derivative prices. It is well known that derivative prices are obtained from the risk neutral or risk adjusted probability distribution (e.g. futures prices are the expected spot prices under the risk neutral probability distribution) . These models also provide the true or physical distribution of spot prices, but this has not been stressed in the literature because they have mainly been used to price derivatives. Howev","cbCaicIsgnW0r5zP","https://ap.wps.com/l/cbCaicIsgnW0r5zP","pdf",619075,35,"English","# ABSTRACT\n## Introduction\n## Commodity pricing models and calibration\n## Risk premia and distribution accuracy\n## Using analyst forecasts to calibrate models","[{\"question\":\"What problem do commodity pricing models have addressed in this paper?\",\"answer\":\"The paper highlights that even successful models for fitting futures term structures do not generate accurate true distributions of spot prices.\"},{\"question\":\"How does the proposed approach calibrate commodity pricing models?\",\"answer\":\"It calibrates the model using both oil futures price observations and analysts’ forecasts of oil spot prices, using the two data sets jointly.\"},{\"question\":\"What is the main conclusion about expected spot curves?\",\"answer\":\"Reasonable expected spot curves are obtained when analysts’ forecasts are used alone or together with futures data, with smaller differences in the short/medium term but significant differences over the long term.\"}]","Commodity Price Forecasts, Futures Prices and Pricing Models - Working Paper 22991 - Abstract | PDF",1791812363]