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Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts
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Garratt, Anthony, Petrella, Ivan and Zhang, Yunyi (2023) Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts. Energy Economics, 121 . 106620. doi:10.1016/j.eneco.2023.106620 ISSN 0140-9883.
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Official URL: https://doi.org/10.1016/j.eneco.2023.106620
Abstract
We evaluate US Energy Information Administration (EIA) forecasts of the world petroleum market, emphasising the importance of taking a multivariate perspective, considering asymmetric loss and allowing for time-variation. Forecasts for total demand, total supply, total stock withdrawals and the oil prices are biased, with biases that change over time and differ across variables. A loss function that takes into account asymmetry and interdependence can rationalise these biases. The implied asymmetric loss gives less weight to under-prediction of both demand and supply, while for oil prices, we document significant regime changes in the implied loss due to asymmetry. The EIA forecasts dominate a simple random walk benchmark when evaluated using symmetric and independent loss in the form of MSE statistical criteria. Yet, when allowing for asymmetry and interdependence that rationalize the EIA forecasts, the performance of the EIA forecasts worsens and is comparable to the random walk benchmark.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HD Industries. Land use. Labor | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | United States. Energy Information Administration., Petroleum industry and trade -- Forecasting | ||||||||
Journal or Publication Title: | Energy Economics | ||||||||
Publisher: | Elsevier | ||||||||
ISSN: | 0140-9883 | ||||||||
Official Date: | May 2023 | ||||||||
Dates: |
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Volume: | 121 | ||||||||
Article Number: | 106620 | ||||||||
DOI: | 10.1016/j.eneco.2023.106620 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 8 March 2023 | ||||||||
RIOXX Funder/Project Grant: |
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