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On the international consistency of short-term, medium-term, and long-term oil price forecasts

  • We derive internal consistency restrictions on short-term, mediumterm, and long-term oil price forecasts. We then analyze whether oil price forecasts extracted from the Survey of Professional Forecasters conducted by the European Central Bank satisfy these internal consistency restrictions. We find that neither short-term forecasts are consistent with medium-term forecasts nor that medium-term forecasts are consistent with long-term forecasts. Using a more complex expectation formation structure featuring a distributed lag structure, however, we find stronger evidence of internal consistency of mediumterm forecasts with long-term forecasts.

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Metadaten
Author:Christian Pierdzioch, Jan-Christoph Rülke, Georg Stadtmann
URN:urn:nbn:de:hbz:992-opus4-4221
Series (Serial Number):WHU – Working Paper Series in Economics (WP 11/02)
Publisher:WHU – Otto Beisheim School of Management
Place of publication:Vallendar
Document Type:Working Paper
Language:English
Date of Publication (online):2017/06/15
Publishing Institution:WHU - Otto Beisheim School of Management
Release Date:2017/06/15
Tag:Erdölpreis; Konsistenz; Prognose; Ölpreis
Consistency; Forecasting; Oil price
Volume:2011
Issue:WP 11/02
Page Number:23
Institutes:WHU Economics Group / Chair of Monetary Economics
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data
D Microeconomics / D8 Information, Knowledge, and Uncertainty / D84 Expectations; Speculations
Q Agricultural and Natural Resource Economics; Environmental and Ecological Economics / Q4 Energy / Q47 Energy Forecasting (Updated!)
Licence (German):Copyright for this publication