Oil price forecastability and economic uncertainty

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Title: Oil price forecastability and economic uncertainty
Authors: Bekiros, Stelios D.
Gupta, Rangan
Paccagnini, Alessia
Permanent link: http://hdl.handle.net/10197/7345
Date: Jul-2015
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
Copyright (published version): 2015 Elsevier
Keywords: Oil prices;Economic policy uncertainty;Forecasting
DOI: 10.1016/j.econlet.2015.04.023
Language: en
Status of Item: Peer reviewed
Appears in Collections:Economics Research Collection

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