Open AccessPosted Content
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 demand and 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 or 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 markets in forecasting the 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 demand and 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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Journal ArticleDOI
Oil Price Shocks: Causes and Consequences
Lutz Kilian,Lutz Kilian +1 more
TL;DR: This paper showed that the real price of oil is endogenous with respect to economic fundamentals and that oil price shocks do not occur ceteris paribus and that one must explicitly account for the demand and supply shocks underlying oil prices when studying their transmission to the domestic economy.
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Quantifying the speculative component in the real price of oil: The role of global oil inventories
Lutz Kilian,Thomas K. Lee +1 more
TL;DR: In this paper, the authors explore how the use of two alternative proxies for global crude oil inventories affects the empirical evidence for speculation and conclude that current policy efforts aimed at tightening the regulation of oil derivatives markets cannot be expected to lower the real price of oil in the physical market.
Journal ArticleDOI
Gasoline Prices, Fuel Economy, and the Energy Paradox
Hunt Allcott,Nathan Wozny +1 more
TL;DR: In this article, the authors test whether relative prices of vehicles with different fuel economy ratings fully adjust to variation in gasoline prices by measuring whether they move as if consumers are indifferent between $1.00 in discounted future gas cost and $0.76 in vehicle purchase price.
ReportDOI
The International Price System
TL;DR: In this paper, the authors define and provide empirical evidence for an International Price System (IPS) in global trade employing data for thirty-five developed and developing countries, characterized by two features: the overwhelming share of world trade is invoiced in very few currencies, with the dollar the dominant currency.
Journal ArticleDOI
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
TL;DR: In this article, the authors investigate the merits of constructing combinations of six real-time econometric forecasting models and demonstrate that suitably constructed realtime forecast combinations would have been systematically more accurate than the no-change forecast at horizons up to 6 quarters or 18 months.
References
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Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
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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.
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Impulse response analysis in nonlinear multivariate models
TL;DR: In this paper, the authors present a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models and demonstrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
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The Economics of Exhaustible Resources
TL;DR: In this article, a discussion is confined in scope to absolutely irreplaceable assets, including peculiar problems of mineral wealth, free competition, maximum social value and state regulation, monopoly, value of a mine monopoly, retardation of production under monopoly, price effects from cumulated production, and the author's mathematically derived optimum solutions.