Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/53915
Authors: 
Alquist, Ron
Kilian, Lutz
Vigfusson, Robert J.
Year of Publication: 
2011
Series/Report no.: 
Bank of Canada Working Paper 2011,15
Abstract: 
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?
Subjects: 
Econometric and statistical methods
International topics
JEL: 
C53
Q43
Q47
Document Type: 
Working Paper

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