Date: 2015
Type: Article

Oil price forecastability and economic uncertainty

Economics letters, 2015, Vol. 132, pp. 125–128  
 
BEKIROS, Stelios D., GUPTA, Rangan, PACCAGNINI, Alessia, Oil price forecastability and economic uncertainty, Economics letters, 2015, Vol. 132, pp. 125–128   - https://hdl.handle.net/1814/38368

Retrieved from Cadmus, EUI Research Repository

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.
 
Additional information:  
Published online: 7 May 2015
Cadmus permanent link: https://hdl.handle.net/1814/38368
Full-text via DOI: 10.1016/j.econlet.2015.04.023
ISSN: 0165-1765; 1873-7374
Keyword(s): Oil prices Economic policy uncertainty Forecasting C22 C32 C53 E60 Q41

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