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 …

static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine …

-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 …

This paper constructs a monthly real-time oil price dataset using backcasting and compares the forecast performance of … used to forecast the real price of oil. The results show that time-varying volatility models dominate their counterparts …

, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …

static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine …

-time econometric oil price forecasting models. We investigate the merits of constructing combinations of six such models. Forecast … years suitably constructed real-time forecast combinations would have been systematically more accurate than the no …-change forecast at horizons up to 6 quarters or 18 months. MSPE reduction may be as high as 12% and directional accuracy as high as 72 …