Oil price forecastability and economic uncertainty

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Authors

Bekiros, Stelios
Gupta, Rangan
Paccagnini, Alessia

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

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.

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Keywords

Oil prices, Economic policy uncertainty, Forecasting

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Citation

Bekiros, S, Gupta, R & Paccagnini, A 2015, 'Oil price forecastability and economic uncertainty', Economics Letters, vol. 132, pp. 125-128.