Speculative behaviour and oil price predictability

Ekaterini Panopoulou and Theologos Pantelidis

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We develop two- and three-state regime switching models and test their forecasting ability for oil prices. We use the deviations of market oil price from fundamental values as the main explanatory variable in our models, while additional potential predictors enrich our specification. Our findings suggest that the regime-switching models are, in general, more accurate than the Random Walk model in terms of both statistical and economic evaluation criteria for oil price forecasts.

Keywords: Oil price; Regime Switching; Forecasting; Deviations from fundamentals. (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2014-12, Revised 2014-12
New Economics Papers: this item is included in nep-ene and nep-for
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Journal Article: Speculative behaviour and oil price predictability (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2014_09

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