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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.891870&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | The new benchmark for forecasts of the real price of crude oil / by Amor Aniss Benmoussa, Reinhard Ellwanger and Stephen Snudden. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-39 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: September 22, 2020." Includes bibliographical references (pages 22-23). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Auteur / Contributeur | Benmoussa, Amor Aniss, author. |
| Description | 1 online resource (ii, 29 pages) : colour illustrations. |
| Numéro de catalogue |
|
| Descripteurs | Petroleum products -- Prices -- Forecasting -- Econometric models. Produits pétroliers -- Prix -- Prévision -- Modèles économétriques. |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :