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). Recently, a number of alternative econometric oil price forecasting models have been introduced in the literature and shown to …-time forecast combinations of six such models with weights that reflect the recent forecasting success of each model. Forecast … combinations are promising for four reasons. First, even the most accurate forecasting models do not work equally well at all times …
Persistent link: https://www.econbiz.de/10009783104
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
Some observers have conjectured that the steep decline in the price of oil between June and December 2014 resulted from positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced...
Persistent link: https://www.econbiz.de/10012996804
It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
Persistent link: https://www.econbiz.de/10012998728
This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. Our comparison of models focuses on density forecasts. Over a range of dynamic models, oil shock measures and data we fi nd a robust link between oil shocks and the volatility of...
Persistent link: https://www.econbiz.de/10014114772
periods and also the forecasting horizon. This is important for the market participants and institutions involved in hedging …
Persistent link: https://www.econbiz.de/10014255356
-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class … is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …
Persistent link: https://www.econbiz.de/10014167514
Recently developed structural models of the global crude oil market imply that the surge in the real price of oil between mid-2003 and mid-2008 was driven by repeated positive shocks to the demand for all industrial commodities, reflecting unexpectedly high growth mainly in emerging Asia. This...
Persistent link: https://www.econbiz.de/10005666885
Persistent link: https://www.econbiz.de/10009260180
obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis … lost by ignoring high-frequency financial data in forecasting the monthly real price of oil. …
Persistent link: https://www.econbiz.de/10011083339