Generate QR code
Open Access
Subscription Access
Analysis of expert and official oil price forecasts
https://doi.org/10.32609/0042-8736-2018-4-26-48
Abstract
The article studies the factors affecting formation of oil price forecasts by leading expert and official organizations (International Energy Agency, US Energy Information Administration, World Bank, OPEC, RF Ministry of Economic Development). It is demonstrated that all these forecasts take into account both oil market fundamentals and the current conjuncture, but the significance of these factors differs by agency. Non-linear dependence between forecast accuracy and horizon length is identified. The error is greatest for the projections 6 to 8 years ahead, which may be explained by the mismatch between the linear nature of the forecasts and the actual cyclical oil price dynamics during the last 50 years. Accuracy of short- to medium-term projections by the Ministry of Economic Development is shown to hold a median position among forecasting agencies, with the leading position held by the US Energy Information Administration.
About the Authors
E. T. Gurvich
Economic Expert Group; Financial Research Institute
Russian Federation
Russian Federation
I. V. Prilepskiy
Economic Expert Group; Financial Research Institute
Russian Federation
Russian Federation
References
1. Balaev A. (2017). Factor analysis of Russian budget system revenues. Ekonomicheskaya Politika, No. 3, pp. 8—37. (In Russian).
2. Balaev A., Gurvich E., Prilepskiy I., Suslina A. (2014). The influence of oil prices and exchange rate on budget system revenues. Finansovyi Zhurnal, No. 1, pp. 5—17. (In Russian).
3. Gurvich E. (2006). How accurate are macroeconomic and budget forecasts? Voprosy Ekonomiki, No. 9, pp. 4—20. (In Russian).
4. Gurvich E., Belyakov I., Prilepskiy I. (2015). Oil supercycle and fiscal policy. Voprosy Ekonomiki, No. 9, pp. 5—30. (In Russian).
5. Ahrens W., Sharma V. (1997) Trends in natural resource commodity prices: Deterministic or stochastic? Journal of Environmental Economics and Management, Vol. 33, No. 1, pp. 59-74.
6. Alquist R., Kilian L. (2010). What do we learn from the price of crude oil futures? Journal of Applied Econometrics, Vol. 25, pp. 539-573.
7. Arezki R., Jakab Z., Laxton D., Matsumoto A., Nurbekyan A., Wang H., Yao J. (2017). Oil prices and the global economy. IMF Working Paper, No. 17/15.
8. Baumeister C., Kilian L. (2015). Forecasting the real price of oil in a changing world: A forecast combination approach. Journal of Business and Economic Statistics, Vol. 33, No. 3, pp. 338-351.
9. Bernard J. T., Khalaf L., Kichian M., Yelou C. (2015a). Oil price forecasts for the long-term: Expert outlooks, models, or both? University of Ottawa Center for Research on the economics of the Environment, Agri-food, Transports and Energy Working Paper, No. 3.
10. Bernard J. T., Khalaf L., Kichian M., McMahon S. (2015b). The convenience yield and the informational content of the oil futures price. Energy Economics, Vol. 36, pp. 29-46.
11. Caldara D., Cavallo M., Iacoviello M. (2016). Oil price elasticities and oil price fluctuations. FRB International Finance Discussion Paper, No. 1173.
12. Cashin P., McDermott C. J. (2002). The long-run behavior of commodity prices: Small trends and big variability. IMF Staff Papers, Vol. 49, No. 2, pp. 175-199.
13. Diebold F. X., Mariano R.S. (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics, Vol. 13, pp. 253-263.
14. Dvir E., Rogoff K. S. (2009). Three epochs of oil. NBER Working Paper, No. 14927.
15. EIA (2014). International energy module of the national energy modeling system: Model documentation 2014. Wash.
16. Harvey D., Leybourne S., Newbold P. (1997). Testing the equality of prediction mean squared errors. International Journal of Forecasting, Vol. 13, pp. 281-291.
17. Holden K., Peel D. A. (1990). On testing for unbiasedness and efficiency of forecasts. The Manchester School of Economic & Social Studies, Vol. 58, No. 2, pp. 120-127.
18. IEA (2016). World energy outlook. Paris. Kesicki F. (2010). The third oil price surge - What’s different this time? Energy Policy, Vol. 38, No. 3, pp. 1596-1606.
19. Krichene N. (2008). Crude oil prices: Trends and forecast. IMF Working Paper, No. 08/133.
20. Manescu C., Van Robays I. (2014). Forecasting the Brent oil price: Addressing timevariation in forecast performance. ECB Working Paper Series, No. 1735.
21. Olsen R. A. (1996). Implications of herding behavior for earnings estimation, risk assessment, and stock returns. Financial Analysts Journal, Vol. 52, No. 4, pp. 37-41.
22. Pierdzioch C., Rülke J.-C., Stadtmann G. (2010). New evidence of anti-herding of oilprice forecasters. WHU Working Paper, No. 10/04.
23. Sanders D. R., Manfredo M. R., Boris K. (2009). Evaluating information in multiplehorizon forecasts: The DOE’s energy price forecasts. Energy Economics, Vol. 31, pp. 189-196.
24. Zhang J.-L., Zhang Y.-J., Zhang L. (2015). A novel hybrid method for crude oil price forecasting. Energy Economics, Vol. 49, pp. 649-659.
Review
For citations:
Gurvich E.T., Prilepskiy I.V. Analysis of expert and official oil price forecasts. Voprosy Ekonomiki. 2018;(4):26-48. (In Russ.) https://doi.org/10.32609/0042-8736-2018-4-26-48
Views:
1126
Email this article 
