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Oil Price Forecastability and Economic Uncertainty

Stelios Bekiros (), Rangan Gupta () and Alessia Paccagnini

No 201518, Working Papers from University of Pretoria, 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 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
Date: 2015-03
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Journal Article: Oil price forecastability and economic uncertainty (2015) Downloads
Working Paper: Oil Price Forecastability and Economic Uncertainty (2015) Downloads
Working Paper: Oil price forecastability and economic uncertainty (2015) Downloads
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