{"title":"Oil Price Forecastability and Economic Uncertainty","authors":"S. Bekiros, Rangan Gupta, Alessia Paccagnini","doi":"10.2139/ssrn.2589853","DOIUrl":null,"url":null,"abstract":"Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.","PeriodicalId":445951,"journal":{"name":"ERN: Forecasting & Simulation (Prices) (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"97","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Forecasting & Simulation (Prices) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2589853","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 97
Abstract
Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.