A historical perspective of the informational content of commodity futures

Multi-equation estimation brings efficiency gains in premium gauging, which leads to reject that the futures price is an unbiased estimate of the spot price for all commodity classes. On the other hand, the sampled commodities lend only partial support to the theory of storage, and for the specific case of industrial metals, inventories seem to matter more than interest rates to explain the basis. Altogether, this article finds mixed support for the premium-based model and for the theory of storage.