This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. We move beyond the literature that focuses on conditional mean point forecasts and compare models based on density forecasts. Over a range of dynamic models, oil shock measures and data...

This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. We move beyond the literature that focuses on conditional mean point forecasts and compare models based on density forecasts. Over a range of dynamic models, oil shock measures and data...

The paper examines the importance of combining high frequency information, along with the market fundamentals, in order to gain incremental forecasting accuracy for oil prices. Inspired by French et al. (1986) and Bollerslev et al. (1988), who maintain that future asset returns are also...