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| 02489cam 2200325zi 4500 |
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| 001 | 9.891870 |
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| 003 | CaOODSP |
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| 005 | 20221107173014 |
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| 006 | m o d f |
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| 007 | cr cn||||||||| |
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| 008 | 200928t20202020onca ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 086 | 1 |aFB3-5/2020-39E-PDF |
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| 100 | 1 |aBenmoussa, Amor Aniss, |eauthor. |
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| 245 | 14|aThe new benchmark for forecasts of the real price of crude oil / |cby Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden. |
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| 264 | 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020. |
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| 264 | 4|c©2020 |
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| 300 | |a1 online resource (ii, 29 pages) : |bcolour illustrations. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-39 |
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| 500 | |a"Last updated: September 22, 2020." |
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| 504 | |aIncludes bibliographical references (pages 22-23). |
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| 520 | 3 |a"We propose a new no-change benchmark to evaluate forecasts of series that are temporally aggregated. The new benchmark is the last high-frequency observation and reflects the null hypothesis that the underlying series, rather than the aggregated series, is unpredictable. Under the random walk null hypothesis, using the last high-frequency observation improves the mean squared prediction errors of the no-change forecast constructed from average monthly or quarterly data by up to 45 percent. We apply this insight to forecasts of the real price of crude oil and show that a new benchmark that relies on monthly closing prices dominates the conventional no-change forecast in terms of forecast accuracy. Although model-based forecasts also improve when models are estimated using closing prices, only the futures-based forecast significantly outperforms the new benchmark. Introducing a more suitable benchmark changes the assessments of different forecasting approaches and of the general predictability of real oil prices"--Abstract, page ii. |
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| 650 | 0|aPetroleum products|xPrices|xForecasting|xEconometric models. |
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| 650 | 6|aProduits pétroliers|xPrix|xPrévision|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2020-39.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s2.79 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-39-eng.pdf |
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