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On the Internal Consistency of Short-Term, Medium-Term, and Long-Term Oil Price Forecasts

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann ()

No 11-02, WHU Working Paper Series - Economics Group from WHU - Otto Beisheim School of Management

Abstract: We derive internal consistency restrictions on short-term, medium-term, and long-term oil price forecasts. We then analyze whether oil price forecasts extracted from the Survey of Professional Forecasters conducted by the European Central Bank satisfy these internal consistency restrictions. We find that neither short-term forecasts are consistent with medium-term forecasts nor that medium-term forecasts are consistent with long-term forecasts. Using a more complex expectation formation structure featuring a distributed lag structure, however, we find stronger evidence of internal consistency of medium-term forecasts with long-term forecasts.

Keywords: oil price; forecasting; internal consistency (search for similar items in EconPapers)
JEL-codes: Q47 D84 C33 (search for similar items in EconPapers)
Date: 2011-02
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Published Applied Economics, Volume 44, 2012, Issue 21

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https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-4221 (application/pdf)

Related works:
Journal Article: On the internal consistency of short-term, medium-term and long-term oil price forecasts (2012) Downloads
Working Paper: On the Internal Consistency of Short-Term, Medium-Term, and Long-Term Oil Price Forecasts (2011) Downloads
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