Download or read book Forecasting the Real Price of Oil in a Changing World written by Christiane Baumeister and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify, and not particularly successful when compared with naïve no-change forecasts, as documented in Alquist et al. (2013). Recently, a number of alternative econometric oil price forecasting models has been introduced in the literature and shown to be more accurate than the no-change forecast of the real price of oil. We investigate the merits of constructing real-time forecast combinations of six such models with weights that reflect the recent forecasting success of each model. Forecast combinations are promising for four reasons. First, even the most accurate forecasting models do not work equally well at all times. Second, some forecasting models work better at short horizons and others at longer horizons. Third, even the forecasting model with the lowest MSPE may potentially be improved by incorporating information from other models with higher MSPE. Fourth, one can think of forecast combinations as providing insurance against possible model misspecification and smooth structural change. We demonstrate that over the last 20 years suitably constructed real-time forecast combinations would have been more accurate than the no-change forecast at every horizon up to two years. Relative to the no-change forecast, forecast combinations reduce the mean-squared prediction error by up to 18%. They also have statistically significant directional accuracy as high as 77%. We conclude that suitably constructed forecast combinations should replace traditional judgmental forecasts of the price of oil.
Download or read book World Market Price of Oil written by Adalat Muradov and published by Springer. This book was released on 2019-04-10 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops new econometric models to analyze and forecast the world market price of oil. The authors construct ARIMA and Trend models to forecast oil prices, taking into consideration outside factors such as political turmoil and solar activity on the price of oil. Incorporating historical and contemporary market trends, the authors are able to make medium and long-term forecasting results. In the first chapter, the authors perform a broad spectrum analysis of the theoretical and methodological challenges of oil price forecasting. In the second chapter, the authors build and test the econometric models needed for the forecasts. The final chapter of the text brings together the conclusions they reached through applying the models to their research. This book will be useful to students in economics, particularly those in upper-level courses on forecasting and econometrics as well as to politicians and policy makers in oil-producing countries, oil importing countries, and relevant international organizations.
Download or read book Forecasting Accuracy of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1991-10-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Download or read book Real time Forecasts of the Real Price of Oil written by Christiane Baumeister and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques to fill gaps in the real-time data. We show that real-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases real-time MSPE reductions may be as high as 25 percent one month ahead and 24 percent three months ahead. This result is in striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR) forecasts based on global oil market variables tend to have lower MSPE at short horizons than forecasts based on oil futures prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently higher directional accuracy. We demonstrate how with additional identifying assumptions such VAR models may be used not only to understand historical fluctuations in the real price of oil, but to construct conditional forecasts that reflect hypothetical scenarios about future demand and supply conditions in the market for crude oil. These tools are designed to allow forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative assumptions.
Download or read book An Evaluation of Future World Oil Prices written by Kenneth L. Kincel and published by . This book was released on 1978 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Sensitivity Analysis of World Oil Prices written by Mark Rodekohr and published by . This book was released on 1980 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Rising Oil Prices on the World Economy written by Lars Matthiessen and published by Springer. This book was released on 1982-06-18 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do oil prices help forecast U S real GDP the role of nonlinearities and asymmetries written by Lutz Kilian and published by . This book was released on 2012 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Oil Prices and the Global Economy written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2017-02-10 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.
Download or read book Forecasting the Real Price of Oil Time Variation and Forecast Combination written by Christoph Funk and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on the questions whether it is possible to generate an accurate forecast of the real price of oil and how it can be improved using forecast combinations. For this reason, my work will investigate the out-of-sample performance of thirteen individual forecasting models. The results show that it is possible to construct better forecasts compared to a no-change benchmark for horizons up to 24 months with gains in the MSPE ratio as high as 25%. In addition, I will extend some of the existing models, e.g the U.S. inventories model by introducing more suitable real time measures for the Brent crude oil price and the VAR model of the global oil market by using different measures for the economic activity. Furthermore, the time performance investigated by constructing recursively estimated MSPE ratios discovers potential weaknesses of the used models. Hence, several different combination approaches are tested with the goal of demonstrating that a combination of individual models is beneficial for the forecasting performance. Thereby, a combination consisting of four models has proven to have a lower MSPE ratio than the best individual models over the medium run and, in addition, to be remarkably stable over time.
Download or read book Review and Outlook for the World Oil Market written by Shane S. Streifel and published by World Bank Publications. This book was released on 1995-01-01 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the collapse of the Soviet system, the immense problems of environmental pollution in Central and Eastern Europe were widely publicized. Less well known were its effects on health in the region, which have led to a serious health crisis. This report examines the degree to which the pollution adversely affected human health, putting it in the context of other health determinants such as socioeconomic factors, health care standards and availability, and lifestyle factors. Among the numerous pollutants, the report points to lead, dust, toxic gases, and nitrates in rural water supplies as having a significant impact on health in Central and Eastern Europe. The author suggests possible avenues for international action. However, an analysis of the determinants of health reveals that addressing the pollution problems alone will not solve the health crisis. Improving health in this region will depend on the changing economic fortunes of individual countries and the ability of each to create a supportive social environment for its citizens.
Download or read book Rational Expectations and Commodity Price Forecasts written by Boum-Jong Choe and published by World Bank Publications. This book was released on with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Crude Oil Prices Trends and Forecast written by Noureddine Krichene and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-05-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of observed trends, as market fundamentals and underlying monetary policies were supportive of these trends. Market expectations derived from option prices anticipated further surge in oil prices and allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating currencies, and weakening financial conditions, recent trends in oil prices might not persist further without triggering world economic recession, regressive oil supply, as oil producers became wary about inflation. Restoring stable oil markets, through restraining monetary policy, is essential for durable growth and price stability.
Download or read book The New Benchmark for Forecasts of the Real Price of Crude Oil written by Amor Aniss Benmoussa and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new no-change benchmark to evaluate forecasts of series that are temporally aggregated. The new benchmark is the last high-frequency observation and reflects the null hypothesis that the underlying series, rather than the aggregated series, is unpredictable. Under the random walk null hypothesis, using the last high-frequency observation improves the mean squared prediction errors of the no-change forecast constructed from average monthly or quarterly data by up to 45 percent. We apply this insight to forecasts of the real price of crude oil and show that a new benchmark that relies on monthly closing prices dominates the conventional no-change forecast in terms of forecast accuracy. Although model-based forecasts also improve when models are estimated using closing prices, only the futures-based forecast significantly outperforms the new benchmark. Introducing a more suitable benchmark changes the assessments of different forecasting approaches and of the general predictability of real oil prices.
Download or read book What central bankers need to know about forecasting oil prices written by Christiane Baumeister and published by . This book was released on 2012 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Real Crude Oil Prices Their Uncertainties and a Bayesian Structural Method for the World Crude Oil Market written by Yunyi Zhang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting the Price of Oil written by Ron Alquist and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?
