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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

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...

Persistent link: https://www.econbiz.de/10010960394

Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

Sekkel, Rodrigo - Bank of Canada - 2014

This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States. I find evidence that the balance sheets of leveraged financial institutions do have...

Persistent link: https://www.econbiz.de/10010960402

Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2009

Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. While the extensive econometric...

Persistent link: https://www.econbiz.de/10005256659

Short-Term Forecasting of the Japanese Economy Using Factor Models

Godbout, Claudia; Lombardi, Marco J. - Bank of Canada - 2012

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...

Persistent link: https://www.econbiz.de/10009651313

Forecasting the Price of Oil

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

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...

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

Real-Time Forecasts of the Real Price of Oil

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

hypothetical scenarios about future demand and supply conditions in the market for crude oil. These tools are designed to allow …

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

much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and … evaluating the risks underlying these forecasts. We show how policy-relevant forecast scenarios can be constructed from recently … to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …

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

Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions....

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