Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate

Nima Nonejad

Economics Letters, 2020, vol. 186, issue C

Abstract: The predictive power contained in crude oil price volatility with regards to forecasting the real U.S. GDP growth rate is evaluated. Contrary to models based on the price of crude oil, specifications employing crude oil price volatility tend to afford statistically significant improvements in terms of population level-predictability and finite-sample forecast accuracy relative to the benchmark at the one-quarter ahead horizon.

Keywords: Crude oil; Forecast evaluation; GDP growth rate; Realized volatility (search for similar items in EconPapers)
JEL-codes: C32 E32 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176519302514
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302514

DOI: 10.1016/j.econlet.2019.108527

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().