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

Author

Listed:
  • Jan Christoph Ruelke

    (Department of Economics - WHU - School of Manangement)

  • Christian Pierdzioch

    (Department of Economics - Saarland University [Saarbrücken])

  • Georg Stadtmann

    (Institute for Industrial Organization - WHU)

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.

Suggested Citation

  • Jan Christoph Ruelke & Christian Pierdzioch & Georg Stadtmann, 2011. "On the Internal Consistency of Short-Term, Medium-Term, and Long-Term Oil Price Forecasts," Post-Print hal-00708542, HAL.
    • Handle: RePEc:hal:journl:hal-00708542
    DOI: 10.1080/00036846.2011.566201
    Note: View the original document on HAL open archive server: https://hal.science/hal-00708542
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    1. Pierdzioch, Christian & Rülke, Jan-Christoph, 2013. "Do inflation targets anchor inflation expectations?," Economic Modelling, Elsevier, vol. 35(C), pages 214-223.
    2. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.

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    More about this item

    Keywords

    Social Sciences & Humanities;

    JEL classification:

    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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