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EIA Storage Announcements, Analyst Storage Forecasts, and Energy Prices

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  • Louis H. Ederington, Fang Lin, Scott C. Linn, and Lisa (Zongfei) Yang

Abstract

Exploring properties both of the EIA's natural gas and crude oil storage announcements and of analyst forecasts of the EIA storage figures, we find that analyst storage forecasts bring additional information to the market beyond seasonal patterns and past storage flows and that the market promptly incorporates analyst forecasts into oil and gas prices prior to the EIA announcements. Analyst's natural gas forecasts efficiently impound the available time-series information but crude oil forecasts do not. We further find that the price reaction to subsequent EIA natural gas storage announcements is contingent on the level of analyst forecast uncertainty as proxied by analyst forecast disagreement. Storage flows higher or lower than analysts had expected one week tend to be partially reversed the following week and analyst forecast dispersion regarding future forecasts increases following large forecast errors.

Suggested Citation

  • Louis H. Ederington, Fang Lin, Scott C. Linn, and Lisa (Zongfei) Yang, 2019. "EIA Storage Announcements, Analyst Storage Forecasts, and Energy Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    • Handle: RePEc:aen:journl:ej40-5-ederington
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    References listed on IDEAS

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    1. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, vol. 59(C), pages 349-364.
    2. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.
    3. Chiou-Wei, Song-Zan & Linn, Scott C. & Zhu, Zhen, 2014. "The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 156-173.
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