Chapter 8. Forecasting the Price of Oil We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications Are real and nominal oil prices predictable based on macroeconomic aggregates Does this predictability translate into gains in out of sample forecast accuracy compared with conventional no change forecasts How useful are oil futures prices in forecasting the spot price of oil How useful are survey forecasts How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future oil demand and oil supply conditions How does one quantify risks associated with oil price forecasts Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries