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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Uncovering predictability in the evolution of the WTI oil futures curve
Fearghal Kearney,Han Lin Shang +1 more
TL;DR: A functional time series based method to model and forecast oil futures and boasts a number of theoretical and practical advantages including effectively exploiting underlying process dynamics missed by classical discrete approaches.
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Forecasting in long horizons using smoothed direct forecast
TL;DR: In this article, a forecast method was proposed to smooth out the jagged shape of direct forecast estimates across horizons while maintaining the robustness of direct forecasts through ridge regression, which is a restricted regression on the first differences of regression coefficients.
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Why crude oil prices are high when global activity is weak
TL;DR: The impact of global real M2 on the real price of crude oil is important in the recovery of oil price during 2009 and 2010 is discussed in this paper, where the authors show that unanticipated increases in global real m2 lead to statistically significant increases in real oil prices.
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The New Benchmark for Forecasts of the Real Price of Crude Oil
TL;DR: A new benchmark for forecast evaluations that relies on monthly closing prices is proposed and it is found that the new benchmark produces more accurate forecasts than the conventional no-change forecast computed from monthly average oil prices.
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Assessing the effects of a large temporary energy savings program: Evidence from a developing country
TL;DR: In this article, the authors examine the effects of a large temporary energy-savings program on the valuation of energy efficiency by Brazilian households, as well as its counterfactual energy savings.
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.