Should Oil Prices Receive So Much Attention? An Evaluation Of The Predictive Power Of Oil Prices For The U.S. Economy
Abstract"This paper evaluates the potential gains from using oil prices to forecast a variety of measures of inflation, economic activity, and monetary policy-related variables. With a few exceptions, oil prices do not have any predictive content for these variables. This finding is robust to the use of rolling forecast windows, the use of industry-level data, changes in the forecast horizon, and allowing for nonlinearities. "("JEL "Q43, E37, C32) Copyright (c) 2007 Western Economic Association International.
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Bibliographic InfoArticle provided by Western Economic Association International in its journal Economic Inquiry.
Volume (Year): 46 (2008)
Issue (Month): 4 (October)
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Find related papers by JEL classification:
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011.
"Forecasting the Price of Oil,"
11-15, Bank of Canada.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
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- Francesco Ravazzolo & Philip Rothman, 2013.
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- Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers 0004, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Francesco Ravazzolo & Philip Rothman, 2010. "Oil and US GDP: A real-time out-of-sample examination," Working Paper 2010/18, Norges Bank.
- Ziesemer, Thomas, 2009. "Growth with imported resources: On the sustainability of U.S. growth and foreign debt," UNU-MERIT Working Paper Series 028, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
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