The new benchmark for forecasts of the real price of crude oil / by Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden.: FB3-5/2020-39E-PDF
"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.
Permanent link to this Catalogue record:
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Department/Agency | Bank of Canada, issuing body. |
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Title | The new benchmark for forecasts of the real price of crude oil / by Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden. |
Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-39 |
Publication type | Series - View Master Record |
Language | [English] |
Format | Electronic |
Electronic document | |
Note(s) | "Last updated: September 22, 2020." Includes bibliographical references (pages 22-23). |
Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
Author / Contributor | Benmoussa, Amor Aniss, author. |
Description | 1 online resource (ii, 29 pages) : colour illustrations. |
Catalogue number |
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Subject terms | Petroleum products -- Prices -- Forecasting -- Econometric models. Produits pétroliers -- Prix -- Prévision -- Modèles économétriques. |
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