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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

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/10009385759

Real-Time Forecasts of the Real Price of Oil

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 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/10009493559

Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - C.E.P.R. Discussion Papers - 2010

In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian...

Persistent link: https://www.econbiz.de/10008468558

A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

Persistent link: https://www.econbiz.de/10011083547

Information, Forecasts and Measurement of the Business Cycle

Evans, George W.; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1993

The Beveridge-Nelson (BN) technique provides a forecast-based method of decomposing a variable such as output, into trend and cycle when the variable is integrated of order one (I (1)). This paper considers the multivariate generalization of the BN decomposition when the information set includes...

Persistent link: https://www.econbiz.de/10005123570