00000nam 2200000zi 4500 9.891870 CaOODSP 20221107173014 m o d f cr cn||||||||| 200928t20202020onca ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2020-39E-PDF Benmoussa, Amor Aniss, author. The new benchmark for forecasts of the real price of crude oil / by Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (ii, 29 pages) : colour illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-39 "Last updated: September 22, 2020." Includes bibliographical references (pages 22-23). "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. Petroleum products Prices Forecasting Econometric models. Produits pétroliers Prix Prévision Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2020-39. (CaOODSP)9.806221 PDF 2.79 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-39-eng.pdf