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Predictability of WTI Futures Prices Relative to EIA Forcasts and Econometric Models

윤원철
경제연구소 (Hanyang Economic Research Institute)|2006.05|Journal of Economic Research (JER)|제11권 제1호|pp. 49-72

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참고문헌

주제분류경제학

초록

Abstract

Recently, international crude oil markets are showing new recordsof price hikes unseen for last wo decades. One of possible expla-nations for this phenomenon could be the diculty in forecastingcrude oil prices. This tudy tries to answer the relative predictabil-ity of futures prices compared to the forecasts based on experts’system and econometric models. Using WTI crude oil spot andfutures prices, this study performs simple statistical comparisonsin forecasting accuracy and a formal test of dierences in forecast-ing errors. According to statistical results, WTI crude oil futuresmarket turns out to be ecient relative to EIA experts’ systemand econometric models. Consequently, WTI crude oil futuresmarket could be utilized as a market-based tool for price forecast-ing and/or resource allocation.

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