Forecasting the Nominal Brent Oil Price with VARs One Model Fits All is popular PDF and ePub book, written by Benjamin Beckers in 2015-11-25, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Forecasting the Nominal Brent Oil Price with VARs One Model Fits All can be Read Online from any device for your convenience.
Forecasting the Nominal Brent Oil Price with VARs One Model Fits All Book PDF Summary
We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact specification of VAR models for nominal oil price prediction is still open to debate, the bias and underprediction in futures and random walk forecasts are larger across all horizons in relation to a large set of VAR specifications. The VAR forecasts generally have the smallest average forecast errors and the highest accuracy, with most specifications outperforming futures and random walk forecasts for horizons up to two years. This calls for caution in reliance on futures or the random walk for forecasting, particularly for near term predictions. Despite the overall strength of VAR models, we highlight some performance instability, with small alterations in specifications, subsamples or lag lengths providing widely different forecasts at times. Combining futures, random walk and VAR models for forecasting have merit for medium term horizons.
Detail Book of Forecasting the Nominal Brent Oil Price with VARs One Model Fits All PDF
- Author : Benjamin Beckers
- Release : 25 November 2015
- Publisher : International Monetary Fund
- ISBN : 9781513524276
- Genre : Business & Economics
- Total Page : 32 pages
- Language : English
- PDF File Size : 8,7 Mb
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