| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9768 |
| DP9768 Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work | |
| Lutz Kilian; Christiane Baumeister | |
| 发表日期 | 2013-12-01 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets. An obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis. We investigate whether mixed-frequency models may be used to take advantage of these rich data sets. We show that, among a range of alternative high-frequency predictors, especially changes in U.S. crude oil inventories produce substantial and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by as much as 16 percent compared with the no-change forecast and has statistically significant directional accuracy as high as 82 percent. This MIDAS forecast also is more accurate than a mixed-frequency real-time VAR forecast, but not systematically more accurate than the corresponding forecast based on monthly inventories. We conclude that typically not much is lost by ignoring high-frequency financial data in forecasting the monthly real price of oil. |
| 主题 | International Macroeconomics |
| 关键词 | forecasts Mixed frequency Oil price Real-time data |
| URL | https://cepr.org/publications/dp9768 |
| 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/538604 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Christiane Baumeister. DP9768 Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
