Predicting gasoline prices using Michigan survey data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2015.04.015
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Stephane Dees & Pedro Soares Brinca, 2013.
"Consumer confidence as a predictor of consumption spending: Evidence for the United States and the Euro area,"
International Economics, CEPII research center, issue 134, pages 1-14.
- Dées, Stéphane & Soares Brinca, Pedro, 2011. "Consumer confidence as a predictor of consumption spending: evidence for the United States and the euro area," Working Paper Series 1349, European Central Bank.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- 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.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Baghestani, Hamid, 1992. "On the Formation of Expected Inflation under Various Conditions: Some Survey Evidence," The Journal of Business, University of Chicago Press, vol. 65(2), pages 281-293, April.
- Ryan Kellogg, 2014.
"The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling,"
American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
- Ryan Kellogg, 2010. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," NBER Working Papers 16541, National Bureau of Economic Research, Inc.
- Meghan R. Busse & Christopher R. Knittel & Florian Zettelmeyer, 2009. "Pain at the Pump: The Differential Effect of Gasoline Prices on New and Used Automobile Markets," NBER Working Papers 15590, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2009.
"Understanding Crude Oil Prices,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
- James D. Hamilton, 2008. "Understanding Crude Oil Prices," NBER Working Papers 14492, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Lutz Kilian, 2011.
"Real-Time Forecasts of the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
- Kilian, Lutz & Baumeister, Christiane, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers 8414, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Staff Working Papers 11-16, Bank of Canada.
- Soren T. Anderson & Ryan Kellogg & James M. Sallee & Richard T. Curtin, 2011. "Forecasting Gasoline Prices Using Consumer Surveys," American Economic Review, American Economic Association, vol. 101(3), pages 110-114, May.
- Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-127, June.
- Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
- Tara Sinclair & H. O. Stekler & L. Kitzinger, 2010. "Directional forecasts of GDP and inflation: a joint evaluation with an application to Federal Reserve predictions," Applied Economics, Taylor & Francis Journals, vol. 42(18), pages 2289-2297.
- Schnader, M H & Stekler, H O, 1990. "Evaluating Predictions of Change," The Journal of Business, University of Chicago Press, vol. 63(1), pages 99-107, January.
- Robert B. Barsky & Lutz Kilian, 2002.
"Do We Really Know That Oil Caused the Great Stagflation? A Monetary Alternative,"
NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 137-198,
National Bureau of Economic Research, Inc.
- Robert B. Barsky & Lutz Kilian, 2001. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Working Papers 8389, National Bureau of Economic Research, Inc.
- Gillman, Max & Nakov, Anton, 2009.
"Monetary effects on nominal oil prices,"
The North American Journal of Economics and Finance, Elsevier, vol. 20(3), pages 239-254, December.
- Gillman, Max & Nakov, Anton, 2008. "Monetary Effects on Nominal Oil Prices," Cardiff Economics Working Papers E2008/15, Cardiff University, Cardiff Business School, Economics Section, revised Nov 2009.
- Max Gillman & Anton Nakov, 2009. "Monetary effects on nominal oil prices," Working Papers 0928, Banco de España.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
- Hunt Allcott & Nathan Wozny, 2014.
"Gasoline Prices, Fuel Economy, and the Energy Paradox,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 779-795, December.
- Hunt Allcott & Jean-Nathan Wozny, 2010. "Gasoline Prices, Fuel Economy, and the Energy Paradox," Working Papers 1003, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
- Hunt Allcott & Nathan Wozny, 2012. "Gasoline Prices, Fuel Economy, and the Energy Paradox," NBER Working Papers 18583, National Bureau of Economic Research, Inc.
- Nathan Wozny & Hunt Allcott, 2011. "Gasoline Prices, Fuel Economy, and the Energy Paradox," 2011 Meeting Papers 222, Society for Economic Dynamics.
- Malcolm P. Baker & E. Scott Mayfield & John E. Parsons, 1998. "Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 115-148.
- repec:cii:cepiei:2013-q2-134-1 is not listed on IDEAS
- Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2008. "Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm," Energy Economics, Elsevier, vol. 30(5), pages 2623-2635, September.
- Pinelopi Koujianou Goldberg, 1998. "The Effects of the Corporate Average Fuel Efficiency Standards in the US," Journal of Industrial Economics, Wiley Blackwell, vol. 46(1), pages 1-33, March.
- James A. Kahn, 1986. "Gasoline Prices and the Used Automobile Market: A Rational Expectations Asset Price Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(2), pages 323-339.
- Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Baghestani, Hamid, 2019. "An analysis of vehicle-buying attitudes of US consumers," Research in Transportation Economics, Elsevier, vol. 75(C), pages 62-68.
- Liao, Hua & Cai, Jia-Wei & Yang, Dong-Wei & Wei, Yi-Ming, 2016. "Why did the historical energy forecasting succeed or fail? A case study on IEA's projection," Technological Forecasting and Social Change, Elsevier, vol. 107(C), pages 90-96.
- Hamid Baghestani & Ajalavat Viriyavipart, 2019. "Do factors influencing consumer home-buying attitudes explain output growth?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1104-1115, August.
- Hamid Baghestani, 2022. "Mortgage rate predictability and consumer home-buying assessments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 593-603, July.
- George Deltas & Michael Polemis, 2024. "Price Pass-Through Dependence on the Source of Cost Increases: Evidence from the European Gasoline Market," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 65(2), pages 595-626, September.
- Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
- Arunanondchai, Panit & Senia, Mark C. & Capps, Oral, Jr., 2017.
"Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?,"
Reports
285201, Texas A&M University, Agribusiness, Food, and Consumer Economics Research Center.
- Arunanondchai, Panit & Senia, Mark C. & Capps, Oral Jr, 2017. "Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252717, Southern Agricultural Economics Association.
- Konstandinos Chourmouziadis & Dimitra K. Chourmouziadou & Prodromos D. Chatzoglou, 2021. "Embedding Four Medium-Term Technical Indicators to an Intelligent Stock Trading Fuzzy System for Predicting: A Portfolio Management Approach," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1183-1216, April.
- Hamid Baghestani & Jorg Bley, 2020. "Do directional predictions of US gasoline prices reveal asymmetries?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(2), pages 348-360, April.
- Hamid Baghestani & Sehar Fatima, 2021. "Growth in US Durables Spending: Assessing the Impact of Consumer Ability and Willingness to Buy," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 55-69, April.
- Hamid Baghestani, 2017. "Do US consumer survey data help beat the random walk in forecasting mortgage rates?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343017-134, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hamid Baghestani, 2017. "Do US consumer survey data help beat the random walk in forecasting mortgage rates?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343017-134, January.
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Baghestani, Hamid & AbuAl-Foul, Bassam M., 2017. "Comparing Federal Reserve, Blue Chip, and time series forecasts of US output growth," Journal of Economics and Business, Elsevier, vol. 89(C), pages 47-56.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- 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.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Anderson, Soren T. & Kellogg, Ryan & Sallee, James M., 2013.
"What do consumers believe about future gasoline prices?,"
Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 383-403.
- Soren T. Anderson & Ryan Kellogg & James M. Sallee, 2011. "What Do Consumers Believe About Future Gasoline Prices?," NBER Working Papers 16974, National Bureau of Economic Research, Inc.
- Kilian, Lutz & Baumeister, Christiane, 2014.
"A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil,"
CEPR Discussion Papers
10162, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," Staff Working Papers 16-18, Bank of Canada.
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," CESifo Working Paper Series 5782, CESifo.
- Baumeister, Christiane & Kilian, Lutz, 2014. "A general approach to recovering market expectations from futures prices with an application to crude oil," CFS Working Paper Series 466, Center for Financial Studies (CFS).
- Baghestani, Hamid, 2021. "Predicting growth in US durables spending using consumer durables-buying attitudes," Journal of Business Research, Elsevier, vol. 131(C), pages 327-336.
- Baris Soybilgen & Ege Yazgan, 2017.
"An evaluation of inflation expectations in Turkey,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 17(1), pages 1-31–38.
- Baris Soybilgen & Ege Yazgan, 2016. "An Evaluation Of Inflation Expectations In Turkey," Working Papers 1601, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Fritsche, Ulrich & Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015.
"Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding,"
International Journal of Forecasting, Elsevier, vol. 31(1), pages 130-139.
- Ulrich Fritsche & Christian Pierdzioch & Jan-Christoph Ruelke & Georg Stadtmann, 2012. "Forecasting the Brazilian Real and the Mexican Peso: Asymmetric Loss, Forecast Rationality, and Forecaster Herding," Macroeconomics and Finance Series 201202, University of Hamburg, Department of Socioeconomics.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2017.
"Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 275-295, March.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2015. "Inside the crystal ball: New approaches to predicting the gasoline price at the pump," CFS Working Paper Series 500, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2015. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CEPR Discussion Papers 10362, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2016. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CESifo Working Paper Series 5759, CESifo.
- Baumeister, Christiane, 2021.
"Measuring Market Expectations,"
CEPR Discussion Papers
16520, C.E.P.R. Discussion Papers.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
- Sallee, James M. & West, Sarah E. & Fan, Wei, 2016.
"Do consumers recognize the value of fuel economy? Evidence from used car prices and gasoline price fluctuations,"
Journal of Public Economics, Elsevier, vol. 135(C), pages 61-73.
- James M. Sallee & Sarah West & Wei Fan, 2015. "Do Consumers Recognize the Value of Fuel Economy? Evidence from Used Car Prices and Gasoline Price Fluctuations," NBER Working Papers 21441, National Bureau of Economic Research, Inc.
- Morana, Claudio, 2013.
"Oil price dynamics, macro-finance interactions and the role of financial speculation,"
Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
- Claudio Morana, 2012. "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Working Papers 2012.07, Fondazione Eni Enrico Mattei.
- Claudio Morana, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Working Papers 225, University of Milano-Bicocca, Department of Economics, revised Nov 2013.
- Morana, Claudio, 2012. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Conference papers 332210, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
- Morana, Claudio, 2012. "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Energy: Resources and Markets 121723, Fondazione Eni Enrico Mattei (FEEM).
- Baghestani, Hamid & Toledo, Hugo, 2017. "Do analysts' forecasts of term spread differential help predict directional change in exchange rates?," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 62-69.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
Research Paper
9525, Federal Reserve Bank of New York.
- Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
- Alquist, Ron & Bhattarai, Saroj & Coibion, Olivier, 2020.
"Commodity-price comovement and global economic activity,"
Journal of Monetary Economics, Elsevier, vol. 112(C), pages 41-56.
- Ron Alquist & Olivier Coibion, 2014. "Commodity Price Co-Movement and Global Economic Activity," Staff Working Papers 14-32, Bank of Canada.
- Ron Alquist & Saroj Bhattarai & Olivier Coibion, 2014. "Commodity-Price Comovement and Global Economic Activity," NBER Working Papers 20003, National Bureau of Economic Research, Inc.
- Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
- Yannick Le Pen & Benoît Sévi, 2013.
"Futures Trading and the Excess Comovement of Commodity Prices,"
Working Papers
halshs-00793724, HAL.
- Yannick Le Pen & Benoît Sévi, 2018. "Futures Trading and the Excess Co-movement of Commodity Prices," Post-Print hal-01731459, HAL.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, France, revised Jan 2013.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-19, Department of Research, Ipag Business School.
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022. "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, vol. 106(C).
More about this item
Keywords
Energy prices; Expected inflation; Consumer sentiment; Forecast accuracy;All these keywords.
JEL classification:
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:50:y:2015:i:c:p:27-32. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.