Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?

CREATE working paper serie 2015-3

25 Pages Posted: 1 Dec 2018

See all articles by Jean-Thomas Bernard

Jean-Thomas Bernard

University of Ottawa

Lynda Khalaf

Carleton University

Maral Kichian

Government of Canada - Bank of Canada

Clement Yelou


Date Written: August 1, 2015


Expert outlooks on the future path of oil prices are often relied on by industry participants and policymaking bodies for their forecasting needs. Yet little attention has been paid to the extent to which these area accurate. Using the regular publications by the Energy Information Administration (EIA), we examine the accuracy of annual recursive oil price forecasts generated by the National Energy Modeling System model of the Agency for forecast horizons of up to 15 years. Our results reveal that the EIA model is quite successful at beating the benchmark random walk model, but only at either end of the forecast horizons. We also show that, for the longer horizons, simple econometric forecasting models often produce similar if not better accuracy than the EIA model. Among these, time-varying specifications generally also exhibit stability in their forecast performance. Finally, while combining forecasts does not change the overall patterns, some additional accuracy gains are obtained at intermediate horizons, and in some cases forecast performance stability is also achieved.

Keywords: Oil price, expert outlooks, long run forecasting, forecast combinations

JEL Classification: Q47, C20

Suggested Citation

Bernard, Jean-Thomas and Khalaf, Lynda and Kichian, Maral and Yelou, Clement, Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both? (August 1, 2015). CREATE working paper serie 2015-3, Available at SSRN: https://ssrn.com/abstract=3265404 or http://dx.doi.org/10.2139/ssrn.3265404

Jean-Thomas Bernard (Contact Author)

University of Ottawa ( email )

2292 Edwin Crescent
Ottawa, Ontario K2C 1H7

Lynda Khalaf

Carleton University ( email )

1125 colonel By Drive
Ottawa, Ontario K1S 5B6

Maral Kichian

Government of Canada - Bank of Canada ( email )

234 Wellington Street
Ontario, Ottawa K1A 0G9

Clement Yelou

Independent ( email )

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