Oil price forecastability and economic uncertainty
Title: Oil price forecastability and economic uncertainty
Citation: Economics letters, 2015, Vol. 132, pp. 125–128
ISSN: 0165-1765; 1873-7374
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.
Subject: Oil prices; Economic policy uncertainty; Forecasting; C22; C32; C53; E60; Q41
Published online: 7 May 2015
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