Economics Research International
Volume 2017 (2017), Article ID 1650363, 8 pages
https://doi.org/10.1155/2017/1650363
Forecasting Performance of Lumber Futures Prices
1207-108 Allard Street, Sault Ste. Marie, ON, P6B5G1, Canada
2School of Forest Resources and Conservation, University of Florida, 357 Newins-Ziegler Hall, Gainesville, FL 32611-0410, USA
Correspondence should be addressed to Shiv N. Mehrotra; moc.liamg@artorhem.vihs
Received 6 September 2016; Accepted 30 March 2017; Published 11 April 2017
Academic Editor: Thanasis Stengos
Copyright © 2017 Shiv N. Mehrotra and Douglas R. Carter. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
We test the forecasting power and information content of lumber futures prices traded on the Chicago Mercantile Exchange, from 1995 to 2013, at four forecast horizons. A Mincer-Zarnowitz regression finds evidence of statistically significant forecasting power at all forecast horizons. The results also support the presence of a time-varying risk premium for the shorter forecast horizons. A Granger causality test provides evidence that lumber futures prices lag spot prices in information assimilation over longer forecast horizons, while neither lagging nor leading over shorter forecast horizons.