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Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - Bank of Canada - 2013

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...

Persistent link: https://www.econbiz.de/10010849957

Are There Gains from Pooling Real-Time Oil Price Forecasts?

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - Bank of Canada - 2014

The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more...

Persistent link: https://www.econbiz.de/10010960393

Forecasting the Price of Oil

Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - Bank of Canada - 2011

specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …

Persistent link: https://www.econbiz.de/10009326651

Real-Time Forecasts of the Real Price of Oil

Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2011

striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … higher directional accuracy. We demonstrate how with additional identifying assumptions such VAR models may be used not only …

Persistent link: https://www.econbiz.de/10009326652

Real-Time Analysis of Oil Price Risks Using Forecast Scenarios

Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2012

Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the...

Persistent link: https://www.econbiz.de/10009493660

What Central Bankers Need to Know about Forecasting Oil Prices

Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2013

of allowing for time variation in vector autoregressive (VAR) model parameters and of constructing forecast combinations …. We conclude that quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data …

Persistent link: https://www.econbiz.de/10010667181

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2013

The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify, and not particularly successful when compared with naïve...

Persistent link: https://www.econbiz.de/10010686952

Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work

Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - Bank of Canada - 2014

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...

Persistent link: https://www.econbiz.de/10010762047

Do Oil Price Increases Cause Higher Food Prices?

Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2013

U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers...

Persistent link: https://www.econbiz.de/10010726969