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-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative …
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We use vector autoregressions with drifting coefficients and stochastic volatility to investigate how the dynamic effects of oil supply shocks on the U.S. economy have changed over time. We find a substantial decline in the short-run price elasticity of oil demand since the mid-eighties. This...
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