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040 |aCaOODSP|beng|erda|cCaOODSP
0861 |aFB3-5/2020-39E-PDF
1001 |aBenmoussa, Amor Aniss, |eauthor.
24514|aThe new benchmark for forecasts of the real price of crude oil / |cby Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (ii, 29 pages) : |bcolour illustrations.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-39
500 |a"Last updated: September 22, 2020."
504 |aIncludes bibliographical references (pages 22-23).
5203 |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.
650 0|aPetroleum products|xPrices|xForecasting|xEconometric models.
650 6|aProduits pétroliers|xPrix|xPrévision|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|v2020-39.|w(CaOODSP)9.806221
85640|qPDF|s2.79 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-39-eng.pdf