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Real-time forecast combinations for the oil price
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Garratt, Anthony, Vahey, Shaun P. and Zhang, Yunyi (2019) Real-time forecast combinations for the oil price. Journal of Applied Econometrics, 34 (3). pp. 456-462. doi:10.1002/jae.2673 ISSN 0883-7252.
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WRAP-Real-time-Forecast-Combinations-Oil-Price-Garratt-2018.pdf - Accepted Version - Requires a PDF viewer. Download (1481Kb) | Preview |
Official URL: http://dx.doi.org/10.1002/jae.2673
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 usinga 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.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Petroleum products -- Prices -- Forecasting, Futures | ||||||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
ISSN: | 0883-7252 | ||||||||
Official Date: | April 2019 | ||||||||
Dates: |
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Volume: | 34 | ||||||||
Number: | 3 | ||||||||
Page Range: | pp. 456-462 | ||||||||
DOI: | 10.1002/jae.2673 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is the peer reviewed version of the following article: Garratt, A, Vahey, SP, Zhang, Y. Real‐time forecast combinations for the oil price. J Appl Econ. 2019; 34: 456– 462. https://doi.org/10.1002/jae.2673, which has been published in final form at http://dx.doi.org/10.1002/jae.2673. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 6 December 2018 | ||||||||
Date of first compliant Open Access: | 26 November 2020 | ||||||||
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