Oil Price Assumptions for Macroeconomic Policy

44 Pages Posted: 25 Mar 2022

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

George Filis

Bournemouth University

Abstract

We evaluate the economic usefulness of oil price forecasts by means of conditional forecasting of five US macroeconomic indicators. First, we forecast oil prices using a mixed sampling frequency framework, where oil prices are driven by information available at high-frequency; and subsequently we proceed with our macroeconomic conditional forecasts. Overall, there is diminishing importance of oil price forecasts for inflation projections, whereas the reverse holds true for inflation expectations, industrial production and producers price index. An array of arguments is presented as to why this might be the case. Our findings remain robust to alternative forecasting frameworks and model specifications.

Keywords: Conditional forecasting, oil price forecasts, MIDAS, core inflation, inflation expectations.

Suggested Citation

Degiannakis, Stavros Antonios and Filis, George, Oil Price Assumptions for Macroeconomic Policy. Available at SSRN: https://ssrn.com/abstract=4066339 or http://dx.doi.org/10.2139/ssrn.4066339

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

George Filis (Contact Author)

Bournemouth University ( email )

Fern Barrow
Poole BH12 5BB, Dorset BH8 8EB
United Kingdom

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