FORECAST OF BRENT OIL PRICE - A DELIBERATION ON USE OF FUTURES CONTRACTS OR/AND OF THE ECONOMETRIC MODELS FORECASTS

Elena Cara () and Olga Gancearuc ()
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Elena Cara: Academy of Economic Studies of Moldova
Olga Gancearuc: Academy of Economic Studies of Moldova

Journal of Social and Economic Statistics, 2015, vol. 4, issue 1, 18-28

Abstract: The oil price is an essential exogenous variable in the macroeconomic functionality model of a country, therefore the forecast for this variable is an important assumption in the forecast process. Given that most brands of oil are traded at stock exchange, a fast source of forecasts that has demonstrated its functionality in time are the futures contracts. The futures values for long term positions basically can be interpreted as forecasts of oil prices, which reflect the perception of market participants about future developments in line with the known details about the factors of influence. However, there are many opponents of the use of futures contracts longterm positions as forecasts, arguing that the econometric models provide more plausible forecasts, as they are based on historical developments and reflects the maximal correlation with factors influencing the concerned variable. In this paper it’s presented three options for Brent oil price forecasting. It is also examined the idea of using combined forecasts, thus ensuring achievement of prognosis as accurate and which includes all the information possible.

Keywords: Brent; USD index; futures contracts; combined forecast (search for similar items in EconPapers)
JEL-codes: C18 E30 G13 (search for similar items in EconPapers)
Date: 2015
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