Oil Price Forecastability and Economic Uncertainty

Stelios Bekiros, Rangan Gupta and Alessia Paccagnini

No 298, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coe¢ cient approach. In this work, we compare the forecastability of standard, Bayesian and TVP-VAR models against the random-walk and benchmark AR models. Our results indicate that over the period 1900:1-2014:2 the time-varying VAR model with stochastic volatility outranks all alternative models.

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)
Pages: 12
Date: 2015-04, Revised 2015-04
New Economics Papers: this item is included in nep-ene, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

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http://repec.dems.unimib.it/repec/pdf/mibwpaper298.pdf First version, 2015 (application/pdf)

Related works:
Journal Article: 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:mib:wpaper:298

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