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Forecasting the Price of Oil

Ron Alquist, +2 more
- 01 May 2011 - 
- Vol. 2, pp 427-507
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?

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Citations
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DissertationDOI

Four essays in macroeconomic modeling of exchange rates, interest rates and commodity prices

TL;DR: In this paper, the authors empirically analyzed the relationship between carry trade positions and some key financial as well as macroeconomic variables using a multivariate threshold model and found that carry trade is driven to a large extent by the expected risk in financial markets and the nominal exchange rate.
Journal ArticleDOI

A Fear Index to Predict Oil Futures Returns

TL;DR: In this article, the authors evaluate the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities.
References
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Time series analysis

James D. Hamilton
- 01 Feb 1997 - 
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.
Journal ArticleDOI

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.
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