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
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150 Years of Boom and Bust: What Drives Mineral Commodity Prices?
TL;DR: In this article, the authors explore a new annual data set on prices and production of copper, lead, tin, zinc, and crude oil from 1840 to 2010, and suggest that prices will return to their stable or declining trends in the long-run.
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Leave the volatility fund alone: Principles for managing oil wealth
Samuel Wills,Samuel Wills +1 more
TL;DR: In this article, the authors show that both developed and developing countries should build an offshore volatility fund, but refrain from depleting it when oil prices fall because it cannot be known when, or if, they will rise again.
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Structural Change in the Crude Oil Price Dynamic: Theoretical Study and Practical Implications
TL;DR: In this paper, the Chow test was used to determine the date when the structural break occurred in the price of oil, and the results showed that the variance is generally higher after the structural change in oil and for oil companies.
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A New Theory to Forecast the Price of Nonrenewable Energy Resources with Mass and Energy-Capital Conservation Equations
TL;DR: The Hotelling rule for nonrenewable resources, that is, an exponential increase of the price at the rate of the current interest multiplied the time, is shown to be a special case of the general energy-capital conservation equation when the mass flow rate of extracted resources is unity.
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A quantile-copula approach to dependence between financial assets
TL;DR: In this article, the dependence structure between United States stock prices, crude oil prices, exchange rates, and U.S. interest rates has been analyzed over the 1998-2017 period.
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.