Oil prices assumptions in macroeconomic forecasts: should we follow futures market expectations?
In macroeconomic forecasting, in spite of its important role in prices and activity developments, oil prices are usually taken as an exogenous variable for which assumptions have to be made. This paper evaluates the forecasting performance of futures markets prices against other popular technical procedure, the carry-over assumption. The results suggest that it is almost indifferent to opt for the futures market prices or the carry over assumption for short-term forecasting horizons (up to 12 months), while, for longer-term horizons, they favour the use of futures market prices. However, as futures markets prices reflect the markets expectations for the world economic activity, futures oil prices should be adjusted whenever the market expectations for the world economic growth are different from the values underlying the macroeconomic scenarios in order to assure fully internal consistency of those scenarios.
|Date of creation:||2004|
|Date of revision:|
|Contact details of provider:|| Postal: R. do Ouro, 27, 1100 LISBOA|
Phone: 21 321 32 00
Fax: 21 346 48 43
Web page: http://www.bportugal.pt
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Paul Cashin & C John McDermott & Alasdair Scott, 1999.
"Booms and slumps in world commodity prices,"
Reserve Bank of New Zealand Discussion Paper Series
G99/8, Reserve Bank of New Zealand.
- Paul Cashin & Hong Liang & C. John McDermott, 2000.
"How Persistent Are Shocks to World Commodity Prices?,"
IMF Staff Papers,
Palgrave Macmillan, vol. 47(2), pages 2.
- Hong Liang & C. John McDermott & Paul Cashin, 1999. "How Persistent Are Shocks to World Commodity Prices?," IMF Working Papers 99/80, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:ptu:wpaper:w200404. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEE-NTDD)
If references are entirely missing, you can add them using this form.