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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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The illusion of oil return predictability: The choice of data matters!
TL;DR: This article showed that the use of within-month averages of daily oil prices in calculating returns used in predictive regressions introduces a bias in the estimates of the first-order autocorrelation coefficient and variance of returns.
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Forecasting Exchange Rates with Commodity Convenience Yields
TL;DR: This article investigated whether commodity convenience yields -the yields that accrue to the holders of physical commodities -can predict the exchange rate of commodity-exporters' currencies, and found that a high level of convenience yields strongly predicts a depreciation of the Australian, Canadian and New Zealand dollars exchange rates at horizons of 1 to 24 months.
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Macro factors in oil futures returns
Yannick Le Pen,Benoît Sévi +1 more
TL;DR: This paper investigated the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03 and found that the factor which has the largest influence on crude oil price is related to real variables from emerging countries.
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Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks
Qianjie Geng,Yudong Wang +1 more
TL;DR: In this paper, the authors explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework and employ ten commonly used econometric models including constant and dynamic ones.
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How important are real interest rates for oil prices
Vipin Arora,Matthew Tanner +1 more
TL;DR: This paper used recursive vector autoregression (VAR) to study the relationship between the U.S. real interest rate and the real oil price and showed that the robustness of this relationship depends crucially on how the real rate is calculated, and the time-frame of the sample.
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.
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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.