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The usefulness of oil price forecasts—Evidence from survey predictions
Author(s) -
Kunze Frederik,
Spiwoks Markus,
Bizer Kilian,
Windels Torsten
Publication year - 2018
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.2916
Subject(s) - econometrics , oil price , survey of professional forecasters , economics , sign (mathematics) , horizon , crude oil , consensus forecast , west texas intermediate , set (abstract data type) , computer science , mathematics , geology , macroeconomics , monetary economics , petroleum engineering , monetary policy , mathematical analysis , geometry , programming language
This paper evaluates survey forecasts for crude oil prices and discusses the implications for decision makers. A novel disaggregated data set incorporating individual forecasts for Brent and Western Texas Intermediate is used. We carry out tests for unbiasedness, sign accuracy, and forecast encompassing, followed by the computation of coefficients for topically oriented trend adjustments and the Theil's U measure. We also control for the forecast horizon finding heterogeneous results. Forecasts are more precise for shorter horizons, but less accurate than the naïve prediction. For longer horizons, topically oriented trend adjustments become more pronounced, but forecasters tend to outperform the naïve predictions.