Oil Price Forecastability and Economic Uncertainty
Rangan Gupta () and
No 201518, Working Papers from University of Pretoria, Department of Economics
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 coefficient 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)
New Economics Papers: this item is included in nep-ene, nep-for, nep-mac and nep-ore
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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:pre:wpaper:201518
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