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Oil price forecastability and economic uncertainty

Stelios Bekiros, Rangan Gupta () and Alessia Paccagnini

Open Access publications from School of Economics, University College Dublin

Abstract: Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.

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: 4 pages
Date: 2015-07
New Economics Papers: this item is included in nep-ene, nep-for and nep-mac
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Published in: Economics Letters, 132() 2015-07

Downloads: (external link)
http://hdl.handle.net/10197/7345 Open Access version, 2015 (application/pdf)

Related works:
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)
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