A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.

Who

Lutz Kilian, PhD (University of Michigan)

Where

IWH conference room

Personal details

Lutz Kilian is Professor of Economics at University of Michigan. His research interests are Time Series Econometrics, Empirical Macroeconomics and Energy Economics.