Oil price forecastability and economic uncertainty
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Date
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.
Description
Keywords
Oil prices, Economic policy uncertainty, Forecasting
Sustainable Development Goals
Citation
Bekiros, S, Gupta, R & Paccagnini, A 2015, 'Oil price forecastability and economic uncertainty', Economics Letters, vol. 132, pp. 125-128.