Abstract
This paper examines the relationship between futures and spot prices for energy commodities. In particular, we examine whether futures prices are (1) an unbiased predictor of subsequent spot prices and (2) whether futures prices are a good predictor of subsequent spot prices, in the crude oil, gasoline, heating oil markets and natural gas markets. We find that while futures prices are unbiased predictors of future spot prices in the first three markets, they are also fairly inaccurate predictors. Natural gas futures prices are both a biased predictor of subsequent spot prices at two of three horizons examined, and a poor predictor.
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