Forecasting the Real Price of Oil Using Online Search Data
International Journal of Computational Economics and Econometrics, 4(1-2), 4-31, (2014)
Posted: 12 Apr 2014
Date Written: April 10, 2014
New models to forecast the real price of oil on the basis of macroeconomic indicators and Google search data are proposed. A large-scale out-of-sample forecasting analysis comparing the different models is performed. It is found that models including both Google data and macroeconomic aggregates statistically outperform the competing models in the short term, while multivariate models including only Google data perform best also for medium and long term forecasts up to 24 months ahead. This finding is confirmed by different robustness checks.
Keywords: Google; oil price; real price of oil; forecasting; forecasting oil prices; crude oil inventories; global real activity; refiners’ acquisition cost for oil
JEL Classification: C22, C32, C52, C53, C55, C58, G17, O13, Q47
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