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What can the oil futures curve tell us about the outlook for oil prices?

Large movements in the oil price have had significant effects on UK CPI inflation over the past few years. In order to produce an inflation forecast, it is necessary to assume a path for oil and other commodity prices. The Monetary Policy Committee assumes that oil prices follow the path given by market futures prices when deciding their central projections for CPI inflation and GDP growth. This article considers arguments for and against using the futures curve as an assumed path and describes some of the other indicators used by the Committee in assessing the outlook for oil prices.

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Article provided by Bank of England in its journal Bank of England Quarterly Bulletin.

Volume (Year): 52 (2012)
Issue (Month): 1 ()
Pages: 39-47

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Handle: RePEc:boe:qbullt:0069
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  1. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
  2. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
  3. Trevor A. Reeve & Robert J. Vigfusson, 2011. "Evaluating the forecasting performance of commodity futures prices," International Finance Discussion Papers 1025, Board of Governors of the Federal Reserve System (U.S.).
  4. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
  5. James D. Hamilton, 2010. "Causes and consequences of the oil shock of 2007–08," CQER Working Paper 2009-02, Federal Reserve Bank of Atlanta.
  6. Tao Wu & Andrew McCallum, 2005. "Do oil futures prices help predict future oil prices?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec30.
  7. Saporta, Victoria & Trott, Matt & Tudela, Merxe, 2009. "What can be said about the rise and fall in oil prices?," Bank of England Quarterly Bulletin, Bank of England, vol. 49(3), pages 215-225.
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