| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8698 |
| DP8698 Real-Time Analysis of Oil Price Risks Using Forecast Scenarios | |
| Lutz Kilian; Christiane Baumeister | |
| 发表日期 | 2011-12-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions. Such scenario analysis is of central importance for end-users of oil price forecasts interested in evaluating the risks underlying these forecasts. We show how policy-relevant forecast scenarios can be constructed from recently proposed structural vector autoregressive models of the global oil market and how changes in the probability weights attached to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk analysis helps forecast users understand what assumptions are driving the forecast. An application to real-time data for December 2010 illustrates the use of these tools in conjunction with reduced-form vector autoregressive forecasts of the real price of oil, the superior real-time forecast accuracy of which has recently been established. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast Oil price Predictive density Real time Risk Scenario analysis Var |
| URL | https://cepr.org/publications/dp8698 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537534 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Christiane Baumeister. DP8698 Real-Time Analysis of Oil Price Risks Using Forecast Scenarios. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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