Forecasting the Price of Oil

123 Pages Posted: 20 Sep 2011

See all articles by Ron Alquist

Ron Alquist

AQR Capital Management LLC

Lutz Kilian

University of Michigan at Ann Arbor - Department of Economics; Centre for Economic Policy Research (CEPR)

Robert J. Vigfusson

Federal Reserve Board - Trade and Quantitative Studies

Multiple version iconThere are 2 versions of this paper

Date Written: July 21, 2011

Abstract

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?

Keywords: Asymmetries, demand and supply, forecasting, oil price, predictability

JEL Classification: C53, E37

Suggested Citation

Alquist, Ron and Kilian, Lutz and Vigfusson, Robert John, Forecasting the Price of Oil (July 21, 2011). Available at SSRN: https://ssrn.com/abstract=1911194 or http://dx.doi.org/10.2139/ssrn.1911194

Ron Alquist (Contact Author)

AQR Capital Management LLC ( email )

Greenwich Plaza
Greenwich, CT NY 06830
United States

Lutz Kilian

University of Michigan at Ann Arbor - Department of Economics ( email )

611 Tappan Street
Ann Arbor, MI 48109-1220
United States
734-764-2320 (Phone)
734-764-2769 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Robert John Vigfusson

Federal Reserve Board - Trade and Quantitative Studies ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
533
rank
49,599
Abstract Views
1,808
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information