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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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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
How sensitive are consumer expenditures to retail energy prices
Paul Edelstein,Lutz Kilian +1 more
TL;DR: In this article, the authors quantify the direct effect on real consumption of unanticipated changes in discretionary income, shifts in precautionary savings, and changes in the operating cost of energy-using durables.
Posted Content
Tests of Equal Forecast Accuracy and Encompassing for Nested Models
TL;DR: In this paper, the authors examined the asymptotic and finite-sample properties of tests for equal forecast accuracy and encompassing applied to 1-step ahead forecasts from nested parametric models.
Journal ArticleDOI
Nonlinearities and the macroeconomic effects of oil prices
TL;DR: The authors reviewed some of the literature on macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson [http://www-personal.umich/~lkilian/kvsubmission.pdf (2009)].
Posted Content
Oil Price Uncertainty
TL;DR: This article used multivariate volatility models to investigate the relationship between the price of oil and the level of economic activity, focusing on the role of uncertainty about oil prices, using a fully specified multivariate framework, based on both structural and reduced form VARs that are modified to accommodate GARCH-in-Mean errors.
ReportDOI
The Effects of the Corporate Average Fuel Efficiency Standards
TL;DR: In this paper, the effects of the Corporate Average Fuel Efficiency standards (CAFE) on the automobile product mix, prices and fuel consumption were examined using micro data from the Consumer Expenditure Survey for 1984-1990.