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
Econometric model for forecasting oil production in OECD member states
Carmen Valentina Radulescu,Dumitru Alexandru Bodislav,Sorin Burlacu,Florina Bran,Lyaman Karimova +4 more
TL;DR: In this article, an econometric model of oil production forecast at OECD member level is presented, which will allow decision makers but also other oil product stakeholders to be responsible for oil production in OECD member states.
Journal ArticleDOI
Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
TL;DR: This article examined the quantile serial dependence in crude oil prices based on the Linton and Whang's quantile-based portmanteau test which was improved by means of quantile wild bootstrapping (QWB).
Journal ArticleDOI
Моделирование реального курса рубля в условиях изменения режима денежно-кредитной политики
TL;DR: In this paper, the authors estimate vector error correction model (VECM) for the real ruble exchange rate and real oil prices, which takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014.
Book ChapterDOI
Energy Security: Stochastic Analysis of Oil Prices
TL;DR: In this paper, a comprehensive analysis of energy price dynamics is performed, using a variety of diffusion processes widely used in finance area calibrated from historical prices over periods of high uncertainty, and the authors perform a comprehensive study of energy prices.
Book ChapterDOI
The Dynamics of Crude Oil Spot and Futures Markets
TL;DR: In this paper, the question of whether futures markets can be used in the competitive price discovery in crude oil markets has been investigated, and it is shown that futures crude oil prices are uninformative for forecasting spot crude oil price.
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.
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.
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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.
Journal ArticleDOI
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.