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Forecast Of Brent Oil Price - A Deliberation On Use Of Futures Contracts Or/And Of The Econometric Models Forecasts

Author

Listed:
  • Elena CARA

    (Academy of Economic Studies of Moldova)

  • Olga GANCEARUC

    (Academy of Economic Studies of Moldova)

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.

Suggested Citation

  • Elena CARA & Olga GANCEARUC, 2015. "Forecast Of Brent Oil Price - A Deliberation On Use Of Futures Contracts Or/And Of The Econometric Models Forecasts," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 4(1), pages 18-28, JULY.
    • Handle: RePEc:aes:jsesro:v:4:y:2015:i:1:p:18-28
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    References listed on IDEAS

    as
    1. Van Robays, Ine & Belu Mănescu, Cristiana, 2014. "Forecasting the Brent oil price: addressing time-variation in forecast performance," Working Paper Series 1735, European Central Bank.
    2. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
    3. Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
    4. Zulauf, Carl & Rettig, Nick & Roberts, Matt, 2014. "Do Futures Forecast the Future?," farmdoc daily, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics, vol. 4, pages 1-6, August.
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    More about this item

    Keywords

    Brent; USD index; futures contracts; combined forecast;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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