{"title":"油价可预测性与经济不确定性","authors":"S. Bekiros, Rangan Gupta, Alessia Paccagnini","doi":"10.2139/ssrn.2589853","DOIUrl":null,"url":null,"abstract":"Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.","PeriodicalId":445951,"journal":{"name":"ERN: Forecasting & Simulation (Prices) (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"97","resultStr":"{\"title\":\"Oil Price Forecastability and Economic Uncertainty\",\"authors\":\"S. Bekiros, Rangan Gupta, Alessia Paccagnini\",\"doi\":\"10.2139/ssrn.2589853\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.\",\"PeriodicalId\":445951,\"journal\":{\"name\":\"ERN: Forecasting & Simulation (Prices) (Topic)\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-04-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"97\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Forecasting & Simulation (Prices) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2589853\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Forecasting & Simulation (Prices) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2589853","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Oil Price Forecastability and Economic Uncertainty
Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.
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