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
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Citations: View citations in EconPapers (13)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302514
DOI: 10.1016/j.econlet.2019.108527
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