Oil-Price Shocks and Retail Energy Prices in Canada
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 02-38.
Length: 41 pages Abstract: The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices. Using an errorcorrection framework, a quarterly forecasting model is estimated for most of these price indexes. The forecasting ability of the error-correction models is found to outperform that of competing autoregressive and random-walk models.
Date of creation: 2002
Date of revision:
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Econometric and Statistical Methods; Inflation and Prices; Market Structure and Pricing;
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- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-09 (All new papers)
- NEP-COM-2002-12-09 (Industrial Competition)
- NEP-ENE-2002-12-09 (Energy Economics)
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- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Working Papers 04-5, Bank of Canada.
- Stanislav Radchenko, 2005. "The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend," Econometrics 0502002, EconWPA.
- Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada.
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