Usefulness of the Forward Curve in Forecasting Oil Prices

Akira Yanagisawa
Additional contact information
Akira Yanagisawa: Institute of Energy Economics, Japan

Energy Working Papers from East Asian Bureau of Economic Research

Abstract: When people analyse oil prices, the forward curve is often referred to as it reflects the average view among market participants. In this paper, to what extent the forward curve provides useful information in forecasting oil prices was analysed quantitatively. Although the usefulness of the forward curve is confirmed in forecasting oil prices, the effect in reducing forecast error is small. Additionally, the forward curve is actually useful for one week ahead and for one month ahead in daily and weekly forecasts, respectively. However, the forward curve is scarcely useful in long-term forecast.

Keywords: oil prices; forward curve; price forecasting (search for similar items in EconPapers)
JEL-codes: Q40 Q47 (search for similar items in EconPapers)
Date: 2009-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.eaber.org/node/22969 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 301 [REDIRECT LOOP] Moved Permanently (http://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969 [301 Moved Permanently]--> https://www.eaber.org/node/22969)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eab:energy:22969

Access Statistics for this paper

More papers in Energy Working Papers from East Asian Bureau of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Shiro Armstrong ().