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Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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  • Jesus Crespo Cuaresma
  • Adusei Jumah
  • Sohbet Karbuz

Abstract

Using a simple unobserved components model, we show that explicitly modelling asymmetric cycles on crude oil prices improves the forecast ability of univariate time series models of the oil price.

Suggested Citation

  • Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, 2009. "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," The Energy Journal, , vol. 30(3), pages 81-90, July.
    • Handle: RePEc:sae:enejou:v:30:y:2009:i:3:p:81-90
    DOI: 10.5547/ISSN0195-6574-EJ-Vol30-No3-4
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    References listed on IDEAS

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    1. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
    2. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
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    4. Knut Anton Mork & Oystein Olsen & Hans Terje Mysen, 1994. "Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 19-36.
    5. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
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