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
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market
TL;DR: This article showed that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s, which implies that small disturbances on either side of the oil market can generate large price responses without large quantity movements, which helps explain the latest run-up and subsequent collapse in the price of oil.
Book ChapterDOI
Forecasting the Price of Oil
TL;DR: 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 oil demand and oil supply conditions.
Journal ArticleDOI
Time-Varying Effects of Oil Supply Shocks on the US Economy
TL;DR: This paper investigated how the dynamic eects of oil supply shocks on the US economy have changed over time and found that a typical oil supply shock is currently characterized by a much smaller impact on world oil production and a greater eect on the real price of crude oil, but has a similar impact on US output and in-ability as in the 1970s.
Journal ArticleDOI
The role of speculation in oil markets: What have we learned so far
TL;DR: The authors found that the existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003, and there is strong evidence that the co-movement between spot and futures prices reflects common economic fundamentals rather than the financialization of oil futures markets.
Journal ArticleDOI
Real-Time Forecasts of the Real Price of Oil
TL;DR: This paper showed that recursive vector autoregressive (VAR) models tend to have lower mean squared prediction error (MSPE) at short horizons than forecasts based on oil futures prices.
References
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Journal ArticleDOI
What Do We Learn from the Price of Crude Oil Futures
TL;DR: This paper used a two-country, multi-period general equilibrium model of the spot and futures markets for crude oil and showed that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline.
Journal ArticleDOI
Can Exchange Rates Forecast Commodity Prices
TL;DR: This paper showed that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances, and they also explored the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust.
Posted ContentDOI
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
Atsushi Inoue,Lutz Kilian +1 more
TL;DR: In this article, it is shown that in-sample evidence of predictability does not guarantee significant out-of-sample predictability, and that the results of insample tests are typically more credible than results of out of-sample tests.
Journal ArticleDOI
Non-causality due to omitted variables
TL;DR: In this paper, the causal structure of a subprocess of a multivariate stochastic process does not allow conclusions concerning the causal structures of the higher dimensional process, and it is well known that Granger-causality in a bivariate system may be due to an omitted variable.
Journal ArticleDOI
Are the responses of the U.S. economy asymmetric in energy price increases and decreases
Lutz Kilian,Robert J. Vigfusson +1 more
TL;DR: In this paper, a structural model that encompasses both symmetric and asymmetric models as special cases is proposed, and correctly computed impulse responses are of roughly the same magnitude in either direction, consistent with formal tests for symmetric responses.