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Oil price forecastability and economic uncertainty
Date Issued
2015-07
Embargo end date
2018-07-01
Abstract
Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.
Type of Material
Journal Article
Publisher
Elsevier
Journal
Economics Letters
Volume
132
Start Page
125
End Page
128
Copyright (Published Version)
2015 Elsevier
Classification
C22
C32
C53
E60
Q41
Language
English
Status of Item
Peer reviewed
This item is made available under a Creative Commons License
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Name
EL2015.pdf
Size
672.87 KB
Format
Adobe PDF
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