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Прогнозирование цен на нефть // Predicting Oil Prices

Author

Listed:
  • Кулкаева Алтын // Altyn Kulkayeva

    (National Bank of Kazakhstan)

  • Тайбекова Аида // Taibekova Aida

    (National Bank of Kazakhstan)

  • Орлов Константин // Orlov Konstantin

    (National Bank of Kazakhstan)

Abstract

В данной работе предложено несколько эконометрических моделей по прогнозированию цены на нефть. В результате разработанные модели показали разные прогнозные качества в зависимости от горизонта. На краткосрочном периоде прогнозирования хорошие прогностические свойства показала модель авторегрессии и скользящего среднего и векторной авторегрессии с 5 лагами, а на среднесрочном – модель векторной авторегрессии с 13 лагами. Комбинирование вышеуказанных моделей продемонстрировало превосходство индивидуальных моделей на коротком отрезке времени (от 8 до 13 месяцев). В целом, рекомендовано использовать данные модели в качестве дополнительного инструмента в рамках выработки сценариев по мировой цене на нефть. // Several econometric models for forecasting oil prices are proposed in this paper. As a result, the developed models showed different forecast characteristics depending on the horizon. In the short-term forecasting period, good forecast properties were shown by autoregressive and moving average and vector autoregressive models with 5 lags, and in the medium term – by a vector autoregressive model with 13 lags. Combining the above models demonstrated the superiority of individual models in the short term (from 8 to 13 months). In general, it is recommended to use these models as an additional tool in designing the world oil price scenarios.

Suggested Citation

  • Кулкаева Алтын // Altyn Kulkayeva & Тайбекова Аида // Taibekova Aida & Орлов Константин // Orlov Konstantin, 2024. "Прогнозирование цен на нефть // Predicting Oil Prices," Working Papers #2024-6, National Bank of Kazakhstan.
  • Handle: RePEc:aob:wpaper:55
    as

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    References listed on IDEAS

    as
    1. Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014. "Are there gains from pooling real-time oil price forecasts?," Energy Economics, Elsevier, vol. 46(S1), pages 33-43.
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    More about this item

    Keywords

    нефть; прогнозирование; комбинирование; центральный банк; oil; forecasting; combining; central bank;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E59 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Other
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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