Thomas Conlon , John Cotter , Emmanuel Eyiah-Donkor
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引用次数: 0
Abstract
We study the out-of-sample predictability of monthly crude oil prices using forecast combinations constructed from several individual predictor forecasts. Our empirical results indicate that combination forecasts of monthly average oil prices are more accurate than the no-change forecast with statistically significant reductions in mean square forecast errors (MSFE) and significant directional accuracy at every horizon up to 24 months, consistent with earlier evidence that forecast combinations greatly enhance the forecastability of oil prices. In contrast, we find no significant MSFE reductions or directional accuracy for forecasts of end-of-month oil prices at almost all horizons. Furthermore, we document that end-of-month forecasts when used to guide investment and hedging decisions of investors, statistically, do not deliver superior economic value to investors. Overall, the implication of our results is that the statistical and economic significance of forecasts of oil prices is heavily influenced by the construction of the underlying oil price series and provide a cautionary note on which oil price series to use in forecasting.
期刊介绍:
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.