An evaluation of EIA gasoline price predictions

This study evaluates the accuracy of the US Energy Information Administration (EIA) monthly forecasts of gasoline prices for 2005-2021. Our findings indicate that the 1-, 3-, 6-, 9-, and 12-month-ahead EIA forecasts do not, on average, significantly over- or under-predict gasoline prices, and they generally outperform the random walk and the nowcast-based benchmarks in terms of both the mean squared forecast error and the predictive information content. We further show that the shorter-horizon (longer-horizon) EIA forecasts predict directional change under asymmetric (symmetric) loss. Additional results indicate that the 1-, 3-, 6-, 9-, and 12-month-ahead EIA forecast errors are all orthogonal to consumer expected change in gasoline prices, actual change in core consumer price index, consumer vehicle-buying attitudes, and consumer sentiments. However, the 1-month-ahead (1- through 12-month-ahead) EIA forecast errors fail to be orthogonal to crude oil price changes (consumer expected inflation), meaning that these indicators can potentially help improve the accuracy of the EIA forecasts of gasoline prices.