This is a picture of October Brent crude oil (monthly average of daily data) and futures.
figure 1: As of November 12, 2021, the price of oil per barrel (Brent crude oil) (blue) and the price of futures contracts (red) are both US dollars per barrel. The NBER decline date (peak to trough) is shaded in gray. Source: EIA through FRED, barchart.com, National Bureau of Statistics.
Chinn and Coibion (2014) Subsequent analysis found that futures did a pretty good job of forecasting. Chinn and Coibion checked WTI data up to 2012, and Kwas and Rubszek (forecast, 2021) Examined WTI and Brent crude oil from 2000 to March 2021. postal, Futures have improved in RMSFE and random walks in the direction of change within a year.
The Energy Information Administration model of the U.S. Department of Energy is described in the report Short-term energy outlook Report the following forecasts for WTI (as of November 9th):
source: U.S. Department of Energy International Energy Agency STEO (November 9, 2021).
Therefore, both WTI and Brent crude oil are expected to fall.The level of trust in futures or STEO forecasts (describe here)? Miao et al. (Energy economics, 2017) Carry out LASSO factor model horse racing against various benchmarks (including futures and STEO forecasts). As far as RMSPE is concerned, the futures and STEO models are not completely bad.
