Oil price forecastability and economic uncertainty

被引：90

作者：

Bekiros, Stelios ^{[1
,2
]}

Gupta, Rangan ^{[1
,3
]}

Paccagnini, Alessia ^{[4
]}

机构：

[1] IPAG Business Sch, IPAG Lab, F-75006 Paris, France

[2] European Univ Inst, Dept Econ, I-50133 Florence, Italy

[3] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[4] Univ Milano Bicocca, Dept Econ, I-20126 Milan, Italy

来源：

ECONOMICS LETTERS | 2015年 / 132卷

基金：

欧盟地平线“2020”;

关键词：

Oil prices; Economic policy uncertainty; Forecasting; INFLATION; SHOCKS; POLICY; MODELS;

D O I：

10.1016/j.econlet.2015.04.023

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：125 / 128

页数：4

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