Book ChapterDOI
Forecasting the Price of Oil
TLDR
In this article, the authors address some of the key questions that arise in forecasting the price of crude oil and evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future oil demand and oil supply conditions.Abstract:
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?read more
Citations
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Posted Content
Gasoline Prices, Fuel Economy, and the Energy Paradox
Hunt Allcott,Jean-Nathan Wozny +1 more
TL;DR: In this paper, the effects of time series variation in gasoline price expectations on the prices and market shares of vehicles with different fuel economy ratings were examined in the US automobile market by examining the effects that consumers purchasing automobiles or other goods and services underweight the costs of gasoline.
Posted Content
The Role of Speculation in Oil Markets: What Have We Learned so Far?
TL;DR: This article found that the existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003, and there is strong evidence that the co-movement between spot and futures prices reflects common economic fundamentals rather than the financialization of oil futures markets.
Journal ArticleDOI
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market
TL;DR: This article showed that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s, which implies that small disturbances on either side of the oil market can generate large price responses without large quantity movements, which helps explain the latest run-up and subsequent collapse in the price of oil.
Dissertation
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?; Parenting Styles and Financial Security: How are children impacted?
TL;DR: In this paper, the authors used a direct measure of global demand shocks based on revisions of professional real GDP growth forecasts and showed that recent forecast surprises were associated primarily with unexpected growth in emerging economies (and to a lesser extent in Japan).
Journal ArticleDOI
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
TL;DR: This paper provided an overview of the causes of all major oil price fluctuations between 1973 and 2014 and discussed why price fluctuations remain difficult to predict, despite economists' improved understanding of oil markets.
References
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Book ChapterDOI
Time Series Analysis
TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
Journal ArticleDOI
Coherent Measures of Risk
TL;DR: In this paper, the authors present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent", and demonstrate the universality of scenario-based methods for providing coherent measures.
Posted Content
Comparing Predictive Accuracy
TL;DR: The authors describes the advantages of these studies and suggests how they can be improved and also provides aids in judging the validity of inferences they draw, such as multiple treatment and comparison groups and multiple pre- or post-intervention observations.
ReportDOI
Comparing Predictive Accuracy
TL;DR: In this article, explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts are proposed and evaluated, and asymptotic and exact finite-sample tests are proposed, evaluated and illustrated.