Real-time forecast combinations for the oil price

Anthony Garratt, Shaun Vahey and Yunyi Zhang

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Baumeister and Kilian (2015) combine forecasts from six empirical models to predict real oil prices. In this paper, we broadly reproduce their main economic findings, employing their preferred measures of the real oil price and similar real-time variables. Mindful of the importance of Brent crude oil as a global price benchmark, we extend consideration to the North Sea based measure and update the evaluation sample to 2017:12. We model the oil price futures curve using a factor-based Nelson-Siegel specification to fill in missing values of oil price futures in the source data. We find that the combined forecasts for Brent are as effective as for other oil price measures. The extended sample using the oil price measures adopted by Baumeister and Kilian (2015) yields similar results to those reported in their paper. And the futures-based model improves forecast accuracy at longer horizon forecasts. The real-time data set is available for download from shaunvahey.com.

Keywords: Real oil price forecasting; Brent crude oil; Forecast combination (search for similar items in EconPapers)
Pages: 18 pages
Date: 2018-08
New Economics Papers: this item is included in nep-ene and nep-for
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Citations: View citations in EconPapers (2)

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https://cama.crawford.anu.edu.au/sites/default/fil ... ratt_vahey_zhang.pdf (application/pdf)

Related works:
Journal Article: Real‐time forecast combinations for the oil price (2019)
Working Paper: Real-time Forecast Combinations for the Oil Price (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2018-38

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