Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?:
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| 100 | 1 | |a Beckers, Benjamin |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |c Beckers, Benjamin |
| 264 | 1 | |a Washington, D.C |b International Monetary Fund |c 2015 | |
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| 490 | 0 | |a IMF Working Papers: Working Paper No. 15 / 251 | |
| 520 | 3 | |a We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact specification of VAR models for nominal oil price prediction is still open to debate, the bias and underprediction in futures and random walk forecasts are larger across all horizons in relation to a large set of VAR specifications. The VAR forecasts generally have the smallest average forecast errors and the highest accuracy, with most specifications outperforming futures and random walk forecasts for horizons up to two years. This calls for caution in reliance on futures or the random walk for forecasting, particularly for near term predictions. Despite the overall strength of VAR models, we highlight some performance instability, with small alterations in specifications, subsamples or lag lengths providing widely different forecasts at times. Combining futures, random walk and VAR models for forecasting have merit for medium term horizons | |
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| id | DE-604.BV048355999 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:42:32Z |
| institution | BVB |
| isbn | 1513524275 9781513524276 |
| language | English |
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| oclc_num | 1337124433 |
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| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
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| physical | 1 Online-Ressource (32 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers: Working Paper No. 15 / 251 |
| spellingShingle | Beckers, Benjamin Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |
| title | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |
| title_auth | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |
| title_exact_search | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |
| title_full | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? Beckers, Benjamin |
| title_fullStr | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? Beckers, Benjamin |
| title_full_unstemmed | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? Beckers, Benjamin |
| title_short | Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? |
| title_sort | forecasting the nominal brent oil price with vars one model fits all |
| url | http://www.elibrary.imf.org/view/IMF001/22963-9781513524276/22963-9781513524276/22963-9781513524276.xml |
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