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The Predictive Content of Energy Futures : An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
Chinn, Menzie D. - 2005
This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while...
Persistent link: https://www.econbiz.de/10012467654
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801
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World Equilibrium with Oil Price Increases : An Intertemporal Analysis
Marion, Nancy Peregrim - 1983
world rate of interest(intertemporal terms of trade effects) and, for rigid wages, changes in employment. Thus Industria … gains from the intertemporal terms of trade effect if it is a net borrower and the world rate of interest falls. Precise … conditions for whether the world rate of interest falls or rises are given.We also show that Industria may gain from subsidizing …
Persistent link: https://www.econbiz.de/10012478029
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Historical Oil Shocks
Hamilton, James D. - 2011
post-World-War-II oil shocks reviewed include the Suez Crisis of 1956-57, the OPEC oil embargo of 1973-1974, the Iranian …
Persistent link: https://www.econbiz.de/10012461867
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Understanding Crude Oil Prices
Hamilton, James D. - 2008
This paper examines the factors responsible for changes in crude oil prices. The paper reviews the statistical behavior of oil prices, relates these to the predictions of theory, and looks in detail at key features of petroleum demand and supply. Topics discussed include the role of commodity...
Persistent link: https://www.econbiz.de/10012464155
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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
the world economy. We analyze the impact of the advent of fracking on the volatility of oil prices. Our model predicts a …
Persistent link: https://www.econbiz.de/10012455258
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Inflation targeting and private sector forecasts
Cecchetti, Stephen G. - 2009
cause them to overreact to the signals from the central bank, leading the economy to be too sensitive to common forecast …
Persistent link: https://www.econbiz.de/10012463225
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Patterns in Exchange Rate Forecasts for 25 Currencies
Chinn, Menzie - 1991
We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures....
Persistent link: https://www.econbiz.de/10012475189
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10012458090
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Adjustment to Expected and Unexpected Oil Price Changes
Marion, Nancy Peregrim - 1982
For oil importers, differences in economic performance after the 1973-74 oil price increase and after the 1979-80 increase can be attributed to a number of factors, including the fact that the 1973-74 oil price increase was unexpected whereas the 1979-80 increase was largely expected. In this...
Persistent link: https://www.econbiz.de/10012478107