全球智库信息集成服务系统(G2TT): DP9572 Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9572
	DP9572 Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
	Lutz Kilian; Christiane Baumeister; Xiaoqing Zhou
发表日期	2013-07-21
出版年	2013
语种	英语
摘要	Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives from the demand for refined products such as gasoline or heating oil. Oil industry analysts such as Philip Verleger and financial analysts widely believe that there is predictive power in the product spread, defined as the difference between suitably weighted refined product market prices and the price of crude oil. Our objective is to evaluate this proposition. We derive from first principles a number of alternative forecasting model specifications involving product spreads and compare these models to the no-change forecast of the real price of oil. We show that not all product spread models are useful for out-of-sample forecasting, but some models are, even at horizons between one and two years. The most accurate model is a time-varying parameter model of gasoline and heating oil spot spreads that allows the marginal product market to change over time. We document MSPE reductions as high as 20% and directional accuracy as high as 63% at the two-year horizon, making product spread models a good complement to forecasting models based on economic fundamentals, which work best at short horizons.
主题	International Macroeconomics
关键词	Oil price Futures Wti Acquisition cost Refined products Crack spread Forecast accuracy Real-time data
URL	https://cepr.org/publications/dp9572
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/538407
推荐引用方式 GB/T 7714	Lutz Kilian,Christiane Baumeister,Xiaoqing Zhou. DP9572 Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis. 2013.