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Real-time analysis of oil price risks using forecast scenarios
Baumeister, Christiane; Kilian, Lutz - 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/10010319616
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Forecasting the real price of oil in a changing world: A forecast combination approach
Baumeister, Christiane; Kilian, Lutz - 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 naive...
Persistent link: https://www.econbiz.de/10010319620
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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - 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/10010319630
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What central bankers need to know about forecasting oil prices
Baumeister, Christiane; Kilian, Lutz - 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/10010319638
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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - 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/10010326672
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Forecasting the real price of oil in a changing world: A forecast combination approach
Baumeister, Christiane; Kilian, Lutz - 2013
The U.S. Energy Information Administration (EIA) regularly publishes monthly and quarterly forecasts of the price of crude oil for horizons up to two years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to...
Persistent link: https://www.econbiz.de/10010326675
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Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013
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/10010326942
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 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/10010420295
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Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 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/10010420627
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Inside the crystal ball: New approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - 2015
Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting...
Persistent link: https://www.econbiz.de/10010464595