| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10362 |
| DP10362 Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump | |
| Lutz Kilian; Christiane Baumeister | |
| 发表日期 | 2015-01-25 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting approaches for the retail price of gasoline and compare their accuracy with the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of gasoline price forecasts are feasible in real time at horizons up to two years, as are substantial increases in directional accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most successful forecasting models. Pooled forecasts have lower MSPE than the EIA gasoline price forecasts and the gasoline price expectations in the Michigan Survey of Consumers. We also show that as much as 39% of the decline in gas prices between June and December 2014 was predictable. |
| 主题 | International Macroeconomics |
| 关键词 | Brent Expert forecasts Forecast combination Oil market Real-time data Retail gasoline price Survey expectations Wti |
| URL | https://cepr.org/publications/dp10362 |
| 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/539193 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Christiane Baumeister. DP10362 Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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