| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8980 |
| DP8980 Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries | |
| Lutz Kilian; Robert J. Vigfusson | |
| 发表日期 | 2012-05-21 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil price in recent years and that (2) oil price decreases do not matter at all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class of nonlinear models to alternative economically plausible nonlinear specifications and examine which aspect of the model is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained from symmetric nonlinear models based on the three-year net oil price change. Finally, we quantify the extent to which the 2008 recession could have been forecast using the latter class of time-varying threshold models. |
| 主题 | International Macroeconomics |
| 关键词 | Asymmetry Nonlinearity Oil price Out-of-sample forecast Real gdp |
| URL | https://cepr.org/publications/dp8980 |
| 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/537799 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Robert J. Vigfusson. DP8980 Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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