IMF Working Papers

Forecasting Accuracy of Crude Oil Futures Prices

Author/Editor:

Manmohan S. Kumar

Publication Date:

October 1, 1991

Summary:

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.

Series:

Working Paper No. 1991/093

Subject:

Commodities Econometric analysis Econometric models Financial institutions Financial markets Futures Futures markets Oil Oil prices Prices

Notes:

Also published in Staff Papers, Vol. 39, No. 2, June 1992.