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Oil and US GDP: A Real-Time out-of Sample Examination

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  • Francesco Ravazzolo
  • Philip Rothman

Abstract

We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model ?withoutoil? against alternatives ?with oil,? we strongly reject the null hypothesis of no OOS population-level predictability from oil prices to GDP at the longer forecast horizon we consider. These results may be due to our oil price measures serving as proxies for a recently developed measure of global real economic activity omitted from the alternatives to the benchmark forecasting models. This examination of the global OOS relative performance of the models we consider is robust to use of ex-post revised data. But when we focus on the forecasting models? local relative performance, we observe strong differences across use of real-time and ex-post revised data.

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Bibliographic Info

Paper provided by Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School in its series Working Papers with number 0004.

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Length: 23 pages
Date of creation: Nov 2011
Date of revision:
Handle: RePEc:bny:wpaper:0004

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Cited by:
  1. James D. Hamilton, 2010. "Nonlinearities and the Macroeconomic Effects of Oil Prices," NBER Working Papers 16186, National Bureau of Economic Research, Inc.
  2. Claudio Morana, 2012. "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers 2012.28, Fondazione Eni Enrico Mattei.
  3. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
  4. Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers 8980, C.E.P.R. Discussion Papers.
  5. Christiane Baumeister & Lutz Kilian, 2012. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, American Statistical Association, vol. 30(2), pages 326-336, April.
  6. James D. Hamilton, 2012. "Oil Prices, Exhaustible Resources, and Economic Growth," NBER Working Papers 17759, National Bureau of Economic Research, Inc.

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