EconPapers    
Economics at your fingertips  
 

Forecasting the Price of Oil

Ron Alquist (), Lutz Kilian () and Robert Vigfusson ()

Staff Working Papers from Bank of Canada

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 or 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 markets in forecasting the 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 demand and 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: Econometric and statistical methods; International topics (search for similar items in EconPapers)
JEL-codes: C53 Q43 Q47 (search for similar items in EconPapers)
Pages: 120 pages
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (77) Track citations by RSS feed

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2011/06/wp2011-15.pdf

Related works:
Chapter: Forecasting the Price of Oil (2013) 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:bca:bocawp:11-15

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2023-02-01
Handle: RePEc:bca:bocawp:11-15