Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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Jesus Crespo Cuaresma ()
Adusei Jumah ()
Sohbet Karbuz ()

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Abstract

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price observations. We show that oil price forecasts improve significantly when this asymmetry is explicitly modelled.

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Paper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2007-22.

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Handle: RePEc:inn:wpaper:2007-22

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
O13 - Economic Development, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-10-20 (All new papers)
NEP-ECM-2007-10-20 (Econometrics)
NEP-ENE-2007-10-20 (Energy Economics)
NEP-FOR-2007-10-20 (Forecasting)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Jesus Crespo Cuaresma, 2003. "Asymmetric cycles in unobserved components models," Economics Bulletin, Economics Bulletin, vol. 5(3), pages 1-9. [Downloadable!]
Reinhart, Carmen & Wickham, Peter, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," MPRA Paper 8173, University Library of Munich, Germany. [Downloadable!]
Other versions:
- Peter Wickham & Carmen Reinhart, 1994. "Commodity Prices - Cyclical Weakness or Secular Decline?," IMF Working Papers 94/7, International Monetary Fund.
Deaton, Angus & Laroque, Guy, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Blackwell Publishing, vol. 59(1), pages 1-23, January. [Downloadable!] (restricted)
Other versions:
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 8909, Institut National de la Statistique et des Etudes Economiques-.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Development Studies.
- Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Rebeca Jiménez-Rodríguez & Marcelo Sánchez, 2004. "Oil price shocks and real GDP growth: empirical evidence for some OECD countries," Working Paper Series 362, European Central Bank. [Downloadable!]
Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.

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