Are published oil price forecasts efficient?

Autor(en)
Hussein Moghaddam, Jalal Dehnavi, Franz Wirl
Abstrakt

Oil prices are crucial for a wide area of economic decisions ranging from households over business to economic policymaking. Therefore, oil price projections are a crucial input to economic models and to economic activity forecasts. This paper assesses the accuracy and efficiency of crude oil price forecasts published by different organisations, think tanks and companies. Since the sequence of published forecasts appears as smooth, the weak efficiency criterion is clearly violated. Even combining forecasts, cannot increase efficiency due to high correlation among various forecasts. This pattern of oil price forecasts can be attributed to combining myopia (use current oil price levels as a basis) with Hotelling‐type exponential growth. Another behavioural explanation in source of inefficiencies is that forecasters prefer to harmonise their forecasts with other forecasters in order to be not an outlier.

Organisation(en)
Institut für Betriebswirtschaftslehre
Journal
OPEC Energy Review
Band
43
Seiten
29-49
ISSN
1753-0229
DOI
https://doi.org/10.1111/opec.12138
Publikationsdatum
10-2018
Publikationsstatus
Elektronische Veröffentlichung vor Drucklegung
Peer-reviewed
Ja
ÖFOS 2012
502051 Wirtschaftsstatistik
Link zum Portal
https://ucris.univie.ac.at/portal/de/publications/are-published-oil-price-forecasts-efficient(91481d11-8c55-4ac0-afba-f41d66a6784a).html