EconPapers    
Economics at your fingertips  
 

Forecasting the Price of Oil

Ron Alquist, Lutz Kilian and Robert Vigfusson

Chapter Chapter 8 in Handbook of Economic Forecasting, 2013, vol. 2, pp 427-507 from Elsevier

Abstract: We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real and nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures prices in forecasting the spot price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future oil demand and oil supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?

Keywords: Oil; No-change forecast; Futures price; Economic fundamentals; Asymmetries; Structural change; Structural oil market models; Predictability; Forecast scenarios; Risk (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (382)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/B9780444536839000086
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Forecasting the Price of Oil (2011) Downloads
Working Paper: Forecasting the Price of Oil (2011) Downloads
Working Paper: Forecasting the price of oil (2011) Downloads
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:ecofch:2-427

DOI: 10.1016/B978-0-444-53683-9.00008-6

Access Statistics for this chapter

More chapters in Handbook of Economic Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-10-17
Handle: RePEc:eee:ecofch:2-427