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Cited by 353

The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.

Real-Time Forecasts of the Real Price of Oil

Baumeister, Christiane, Kilian, Lutz·2012·Journal of Business & Economic Statistics
DOI 10.1080/07350015.2011.648859
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Abstract

We construct a monthly real-time dataset consisting of vintages for 1991.1–2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques to fill gaps in the real-time data. We show that real-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to 1 year. In some cases, real-time mean squared prediction error (MSPE) reductions may be as high as 25% 1 month ahead and 24% 3 months ahead. This result is in striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR) forecasts based on global oil market variables tend to have lower MSPE at short horizons than forecasts based on oil futures prices, forecasts based on autoregressive (AR) and autoregressive moving average (ARMA) models, and the no-change forecast. In addition, these VAR models have consistently higher directional accuracy.

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Research works printed but not linked: 7

  1. Carlton , A. B. 2010 . Oil Prices and Real-Time Output Growth , Mimeo : Department of Economics, University of Houston .
  2. 10.2307/1392005 · doi:10.2307/1392005
  3. 10.1080/07350015.1995.10524599 · DOI · Paper page
  4. 10.1016/S0022-1996(02)00058-2 · doi:10.1016/s0022-1996(02)00058-2
  5. Giannone , D. , Lenza , M. and Primiceri , G. 2010 . Prior Selection for Vector Autoregressions , Mimeo : Department of Economics, Free University of Brussels .
  6. 10.1162/003465303322369768 · doi:10.1162/003465303322369768
  7. Ravazzolo , F. and Rothman , P. 2012 . “ Oil and U.S. GDP: A Real-Time Out-of-Sample Examination ” . In Journal of Money, Credit and Banking , forthcoming .

Cited by

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Metadata

Authors
Baumeister, C., & Kilian, L.
Venue
Journal of Business & Economic Statistics
Publisher
Informa UK Limited
Published
2012-04
Volume
30
Issue
2
Pages
326-336
ISSN
  • 0735-0015 (ISSN-L)
  • 1537-2707
DOI
10.1080/07350015.2011.648859
OpenAlex
W2066326977
Cited by
353
References
20
FWCI
28.65
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Real-Time Forecasts of the Real Price of Oil. https://app.cochat.ai/papers/10.1080/07350015.2011.648859
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Baumeister, C., & Kilian, L. (2012). Real-Time Forecasts of the Real Price of Oil. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.2011.648859

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