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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
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- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Michael W. McCracken & Joseph T. McGillicuddy, 2019.
"An empirical investigation of direct and iterated multistep conditional forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 181-204, March.
- Michael W. McCracken & Joseph McGillicuddy, 2017. "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers 2017-40, Federal Reserve Bank of St. Louis.
- Kilian, Lutz & Lee, Thomas K., 2014.
"Quantifying the speculative component in the real price of oil: The role of global oil inventories,"
Journal of International Money and Finance, Elsevier, vol. 42(C), pages 71-87.
- Kilian, Lutz & Lee, Thomas K, 2013. "Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories," CEPR Discussion Papers 9297, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2017.
"The Impact of the Fracking Boom on Arab Oil Producers,"
The Energy Journal, , vol. 38(6), pages 137-160, November.
- Lutz Kilian, 2017. "The Impact of the Fracking Boom on Arab Oil Producers," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
- Kilian, Lutz, 2016. "The Impact of the Fracking Boom on Arab Oil Producers," CEPR Discussion Papers 11107, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2017. "The Impact of the Fracking Boom on Arab Oil Producers," Working Papers 1110, Economic Research Forum, revised 06 2017.
- Lutz Kilian, 2016. "The Impact of the Fracking Boom on Arab Oil Producers," CESifo Working Paper Series 5751, CESifo.
- Van Robays, Ine & Belu Mănescu, Cristiana, 2014.
"Forecasting the Brent oil price: addressing time-variation in forecast performance,"
Working Paper Series
1735, European Central Bank.
- Cristiana Belu Manescu & Ine Van Robays, 2016. "Forecasting the Brent Oil Price: Addressing Time-Variation in Forecast Performance," CESifo Working Paper Series 6242, CESifo.
- Shiu-Sheng Chen, 2014.
"Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks,"
Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
- Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, 2023.
"A weekly structural VAR model of the US crude oil market,"
Energy Economics, Elsevier, vol. 121(C).
- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, "undated". "A weekly structural VAR model of the US crude oil market," FEEM Working Papers 324040, Fondazione Eni Enrico Mattei (FEEM).
- Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
- Eisa Maboudian & Khashayar Seyyed Shokri, 2015. "Reinvestigation of Oil Price-Stock Market Nexus in Iran: A SVAR Approach," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(1), pages 81-90, Winter.
- Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
- Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
- Reza Hafezi & Amir Naser Akhavan & Mazdak Zamani & Saeed Pakseresht & Shahaboddin Shamshirband, 2019. "Developing a Data Mining Based Model to Extract Predictor Factors in Energy Systems: Application of Global Natural Gas Demand," Energies, MDPI, vol. 12(21), pages 1-22, October.
- Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
- Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
- Christiane Baumeister & Lutz Kilian, 2015.
"Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 338-351, July.
- Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Forecasting the real price of oil in a changing world: A forecast combination approach," CFS Working Paper Series 2013/11, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," CEPR Discussion Papers 9569, C.E.P.R. Discussion Papers.
- Georges Prat & Remzi Uctum, 2021.
"Modeling ex-ante risk premia in the oil market,"
Working Papers
hal-03508699, HAL.
- Remzi Uctum & Georges Prat, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03513121, HAL.
- Remzi Uctum & Georges Prat, 2021. "Modeling ex-ante risk premia in the oil market," EconomiX Working Papers 2021-31, University of Paris Nanterre, EconomiX.
- Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03318785, HAL.
- Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Antonello D’Agostino & Michele Modugno & Chiara Osbat, 2017.
"A Global Trade Model for the Euro Area,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 1-34, December.
- Antonello D'Agostino & Michele Modugno & Chiara Osbat, 2015. "A Global Trade Model for the Euro Area," Finance and Economics Discussion Series 2015-13, Board of Governors of the Federal Reserve System (U.S.).
- Osbat, Chiara & D'Agostino, Antonello & Modugno, Michele, 2016. "A global trade model for the euro area," Working Paper Series 1986, European Central Bank.
- Christiane Baumeister & Lutz Kilian, 2016.
"Understanding the Decline in the Price of Oil since June 2014,"
Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 3(1), pages 131-158.
- Kilian, Lutz & Baumeister, Christiane, 2015. "Understanding the Decline in the Price of Oil since June 2014," CEPR Discussion Papers 10404, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2016. "Understanding the Decline in the Price of Oil since June 2014," CESifo Working Paper Series 5755, CESifo.
- Baumeister, Christiane & Kilian, Lutz, 2015. "Understanding the decline in the price of oil since June 2014," CFS Working Paper Series 501, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian, 2014.
"What Central Bankers Need To Know About Forecasting Oil Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 869-889, August.
- Kilian, Lutz & Baumeister, Christiane, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers 9118, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2013. "What Central Bankers Need to Know about Forecasting Oil Prices," Staff Working Papers 13-15, Bank of Canada.
- Todd E. Clark & Michael W. McCracken, 2014.
"Evaluating Conditional Forecasts from Vector Autoregressions,"
Working Papers
2014-25, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series) 1413, Federal Reserve Bank of Cleveland.
- Lutz Kilian & Robert J. Vigfusson, 2017.
"The Role of Oil Price Shocks in Causing U.S. Recessions,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1747-1776, December.
- Lutz Kilian & Robert J. Vigfusson, 2014. "The Role of Oil Price Shocks in Causing U.S. Recessions," International Finance Discussion Papers 1114, Board of Governors of the Federal Reserve System (U.S.).
- Lutz Kilian & Robert J. Vigfusson, 2016. "The Role of Oil Price Shocks in Causing U.S. Recessions," CESifo Working Paper Series 5743, CESifo.
- Kilian, Lutz & Vigfusson, Robert J., 2014. "The role of oil price shocks in causing U.S. recessions," CFS Working Paper Series 460, Center for Financial Studies (CFS).
- Kilian, Lutz & Vigfusson, Robert J., 2014. "The Role of Oil Price Shocks in Causing U.S. Recessions," CEPR Discussion Papers 10040, C.E.P.R. Discussion Papers.
- Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
- George Filis & Stavros Degiannakis & Zacharias Bragoudakis, 2022. "Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?," Working Papers 296, Bank of Greece.
- Nick, Sebastian & Thoenes, Stefan, 2014.
"What drives natural gas prices? — A structural VAR approach,"
Energy Economics, Elsevier, vol. 45(C), pages 517-527.
- Nick, Sebastian & Thoenes, Stefan, 2013. "What Drives Natural Gas Prices? - A Structural VAR Approach," EWI Working Papers 2013-2, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
- Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
- Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021.
"Structural scenario analysis with SVARs,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
- Petrella, Ivan & Antolin-Diaz, Juan & Rubio-RamÃrez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2011.
"Real-Time Forecasts of the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
- Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Staff Working Papers 11-16, Bank of Canada.
- Kilian, Lutz & Baumeister, Christiane, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers 8414, C.E.P.R. Discussion Papers.
- Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
- Delle Chiaie, S., 2013.
"Pétrole et macroéconomie - Synthèse de l’atelier Banque de France du 14 novembre 2012,"
Bulletin de la Banque de France, Banque de France, issue 192, pages 111-116.
- S. Delle Chiaie., 2013. "Oil and the macroeconomy - Summary of the Banque de France workshop on 14 November 2012," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 29, pages 49-55, Spring.
- Chu, Pyung Kun & Hoff, Kristian & Molnár, Peter & Olsvik, Magnus, 2022. "Crude oil: Does the futures price predict the spot price?," Research in International Business and Finance, Elsevier, vol. 60(C).
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014.
"Are there gains from pooling real-time oil price forecasts?,"
Energy Economics, Elsevier, vol. 46(S1), pages 33-43.
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014. "Are there Gains from Pooling Real-Time Oil Price Forecasts?," CEPR Discussion Papers 10075, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2014. "Are There Gains from Pooling Real-Time Oil Price Forecasts?," Staff Working Papers 14-46, Bank of Canada.
- Soojin Jo, 2014. "The Effects of Oil Price Uncertainty on Global Real Economic Activity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(6), pages 1113-1135, September.
- Andreas Karathanasopoulos, 2017. "Modelling and trading commodities with a new deep belief network," Economics and Business Letters, Oviedo University Press, vol. 6(2), pages 28-34.
- Shiu‐Sheng Chen, 2023. "A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1068-1076, November.
- Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
- Christiane Baumeister & Lutz Kilian & Xiaoqing Zhou, 2013.
"Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis,"
Staff Working Papers
13-25, Bank of Canada.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis," CFS Working Paper Series 2013/09, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane & Zhou, Xiaoqing, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," CEPR Discussion Papers 9572, C.E.P.R. Discussion Papers.
- Baumeister, Christiane, 2023.
"Pandemic, War, Inflation: Oil Markets at a Crossroads?,"
CEPR Discussion Papers
18347, C.E.P.R. Discussion Papers.
- Christiane Baumeister, 2023. "Pandemic, War, Inflation: Oil Markets at a Crossroads?," NBER Working Papers 31496, National Bureau of Economic Research, Inc.
- Lutz Kilian, 2013.
"Structural vector autoregressions,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554,
Edward Elgar Publishing.
- Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
- Dalheimer, Bernhard & Herwartz, Helmut & Lange, Alexander, 2021. "The threat of oil market turmoils to food price stability in Sub-Saharan Africa," Energy Economics, Elsevier, vol. 93(C).
- Michael W. McCracken & Joseph T. McGillicuddy & Michael T. Owyang, 2022.
"Binary Conditional Forecasts,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1246-1258, June.
- Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang, 2019. "Binary Conditional Forecasts," Working Papers 2019-029, Federal Reserve Bank of St. Louis, revised Apr 2021.
- Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Does the exogeneity of oil prices matter in the oil price-macro-economy relationship for Ghana?," Economics Discussion Papers 2019-2, School of Economics, Kingston University London.
- Doga Bilgin & Reinhard Ellwanger, 2019. "The Simple Economics of Global Fuel Consumption," Staff Working Papers 19-35, Bank of Canada.
- Degiannakis, Stavros & Filis, George, 2023.
"Oil price assumptions for macroeconomic policy,"
Energy Economics, Elsevier, vol. 117(C).
- Degiannakis, Stavros & Filis, George, 2020. "Oil price assumptions for macroeconomic policy," MPRA Paper 100705, University Library of Munich, Germany.
- Reinhard Ellwanger, 2019. "A Structural Model of the Global Oil Market," Staff Analytical Notes 2019-17, Bank of Canada.
- Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
- Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
- Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.