 Oil price assumptions in macroeconomic forecasts: should we follow futures market expectations?Carlos Coimbra and Paulo Esteves OPEC Energy Review, 2004, vol. 28, issue 2, 87-106 Abstract: In macroeconomic forecasting, in spite of its important role in price and activity developments, oil prices are usually taken as an exogenous variable, for which assumptions have to be made. This paper evaluates the forecasting performance of futures market prices against the other popular technical procedure, the carry‐over assumption. The results suggest that there is almost no difference between opting for futures market prices or using the carry‐over assumption for short‐term forecasting horizons (up to 12 months), while, for longer‐term horizons, they favour the use of futures market prices. However, as futures market prices reflect market expectations for world economic activity, futures oil prices should be adjusted whenever market expectations for world economic growth are different to the values underlying the macroeconomic scenarios, in order to fully ensure the internal consistency of those scenarios. Date: 2004 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:opecrv:v:28:y:2004:i:2:p:87-106 Ordering information: This journal article can be ordered from Access Statistics for this article OPEC Energy Review is currently edited by Angela U. Agoawike More articles in OPEC Energy Review from Organization of the Petroleum Exporting Countries |
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