| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9118 |
| DP9118 What Central Bankers Need to Know about Forecasting Oil Prices | |
| Lutz Kilian; Christiane Baumeister | |
| 发表日期 | 2012-09-02 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than forecasts based on oil futures prices of the type commonly employed by central banks worldwide. Such monthly forecasts, however, differ in several important dimensions from the forecasts central banks require when making policy decisions. First, central banks are interested in forecasts of the quarterly real price of oil rather than forecasts of the monthly real price of oil. Second, many central banks are interested in forecasting the real price of Brent crude oil rather than any of the U.S. benchmarks. Third, central banks outside the United States are interested in forecasting the real price of oil measured in domestic consumption units rather than U.S. consumption units. Addressing each of these three concerns involves modeling choices that affect the relative accuracy of alternative forecasting methods. In addition, we investigate the costs and benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most accurate forecasts among a wide range of methods including forecasts based on oil futures prices, nochange forecasts and forecasts based on models estimated on quarterly data. |
| 主题 | International Macroeconomics |
| 关键词 | Central banks Forecasting methods Oil futures prices Out-of-sample forecast Quarterly horizon Real price of oil Real-time data Var |
| URL | https://cepr.org/publications/dp9118 |
| 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/537951 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Christiane Baumeister. DP9118 What Central Bankers Need to Know about Forecasting Oil Prices. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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