Oil price forecastability and economic uncertainty

Stelios Bekiros, Rangan Gupta and Alessia Paccagnini

Economics Letters, 2015, vol. 132, issue C, 125-128

Abstract: Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.

Keywords: Oil prices; Economic policy uncertainty; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E60 Q41 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (61)

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Related works:
Working Paper: Oil Price Forecastability and Economic Uncertainty (2015)
Working Paper: Oil Price Forecastability and Economic Uncertainty (2015)
Working Paper: Oil price forecastability and economic uncertainty (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:132:y:2015:i:c:p:125-128

DOI: 10.1016/j.econlet.2015.04.023

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