Real-time Forecast Combinations for the Oil Price

Anthony Garratt (), Shaun Vahey and Ynuyi Zhang ()

No 494, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: Baumeister and Kilian (2015) combine forecasts from six empirical models to predict real oil prices. In this paper, we broadly reproduce their main economic findings, employing their preferred measures of the real oil price and other real-time variables. Mindful of the importance of Brent crude oil as a global price benchmark, we extend consideration to the North Sea based measure and update the evaluation sample to 2017:12. We model the oil price futures curve using a factor-based Nelson-Siegel specification estimated in real time to fill in missing values for oil price futures in the raw data. We find that the combined forecasts for Brent are as effective as for other oil price measures. The extended sample using the oil price measures adopted by Baumeister and Kilian (2015) yields similar results to those reported in their paper. And the futures-based model improves forecast accuracy at longer horizons. The real-time data set is available for download from https://www.niesr.ac.uk/real-time-forecast-combinations-oil-price

Keywords: Real oil price forecasting; Brent crude oil; Forecast combination (search for similar items in EconPapers)
JEL-codes: C01 C32 C53 (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.niesr.ac.uk/wp-content/uploads/2021/10/DP494_0-4.pdf

Related works:
Working Paper: Real-time forecast combinations for the oil price (2018)
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:nsr:niesrd:494

Access Statistics for this paper

More papers in National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research 2 Dean Trench Street Smith Square London SW1P 3HE. Contact information at EDIRC.
Bibliographic data for series maintained by Library & Information Manager ().