Narrow search
Showing 1 - 10 of 11
Cover Image
Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …
Persistent link: https://www.econbiz.de/10009643504
Cover Image
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10011083435
Cover Image
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
Cover Image
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
Cover Image
Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - C.E.P.R. Discussion Papers - 2013
as 82 percent. This MIDAS forecast also is more accurate than a mixed-frequency real-time VAR forecast, but not …
Persistent link: https://www.econbiz.de/10011083339
Cover Image
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
Cover Image
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 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/10011084729
Cover Image
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?
Hicks, Bruce; Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
Recently developed structural models of the global crude oil market imply that the surge in the real price of oil between mid-2003 and mid-2008 was driven by repeated positive shocks to the demand for all industrial commodities, reflecting unexpectedly high growth mainly in emerging Asia. This...
Persistent link: https://www.econbiz.de/10005666885
Cover Image
Oil Price Shocks, Monetary Policy and Stagflation
Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
One of the central questions in recent macroeconomic history is to what extent monetary policy as opposed to oil price shocks contributed to the stagflation of the 1970s. Understanding what went wrong in the 1970s is the key to learning from the past. One explanation explored in Barsky and...
Persistent link: https://www.econbiz.de/10005016247
Cover Image
Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009
A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...
Persistent link: https://www.econbiz.de/10005000442