Forecasting The Nominal Brent Oil Price With Vars One Model Fits All

Author : Benjamin Beckers,Samya Beidas-Strom
Publisher : International Monetary Fund
Page : 32 pages
File Size : 41,9 Mb
Release : 2015-11-25
Category : Business & Economics
ISBN : 9781513524276

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Forecasting the Nominal Brent Oil Price with VARs—One Model Fits All? by Benjamin Beckers,Samya Beidas-Strom Pdf

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact specification of VAR models for nominal oil price prediction is still open to debate, the bias and underprediction in futures and random walk forecasts are larger across all horizons in relation to a large set of VAR specifications. The VAR forecasts generally have the smallest average forecast errors and the highest accuracy, with most specifications outperforming futures and random walk forecasts for horizons up to two years. This calls for caution in reliance on futures or the random walk for forecasting, particularly for near term predictions. Despite the overall strength of VAR models, we highlight some performance instability, with small alterations in specifications, subsamples or lag lengths providing widely different forecasts at times. Combining futures, random walk and VAR models for forecasting have merit for medium term horizons.

Author : Benjamin; Beidas-Strom Samya Beckers
Publisher : Unknown
Page : 128 pages
File Size : 42,6 Mb
Release : 2015
Category : Electronic
ISBN : 1513518038

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Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?. by Benjamin; Beidas-Strom Samya Beckers Pdf

Author : Benjamin Beckers,Samya Beidas-Strom
Publisher : International Monetary Fund
Page : 32 pages
File Size : 43,6 Mb
Release : 2015-11-25
Category : Business & Economics
ISBN : 9781513523897

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Forecasting the Nominal Brent Oil Price with VARs—One Model Fits All? by Benjamin Beckers,Samya Beidas-Strom Pdf

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact specification of VAR models for nominal oil price prediction is still open to debate, the bias and underprediction in futures and random walk forecasts are larger across all horizons in relation to a large set of VAR specifications. The VAR forecasts generally have the smallest average forecast errors and the highest accuracy, with most specifications outperforming futures and random walk forecasts for horizons up to two years. This calls for caution in reliance on futures or the random walk for forecasting, particularly for near term predictions. Despite the overall strength of VAR models, we highlight some performance instability, with small alterations in specifications, subsamples or lag lengths providing widely different forecasts at times. Combining futures, random walk and VAR models for forecasting have merit for medium term horizons.

Author : Hoang Pham
Publisher : Springer Nature
Page : 325 pages
File Size : 48,8 Mb
Release : 2020-03-28
Category : Technology & Engineering
ISBN : 9783030434120

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Reliability and Statistical Computing by Hoang Pham Pdf

This book presents the latest developments in both qualitative and quantitative computational methods for reliability and statistics, as well as their applications. Consisting of contributions from active researchers and experienced practitioners in the field, it fills the gap between theory and practice and explores new research challenges in reliability and statistical computing. The book consists of 18 chapters. It covers (1) modeling in and methods for reliability computing, with chapters dedicated to predicted reliability modeling, optimal maintenance models, and mechanical reliability and safety analysis; (2) statistical computing methods, including machine learning techniques and deep learning approaches for sentiment analysis and recommendation systems; and (3) applications and case studies, such as modeling innovation paths of European firms, aircraft components, bus safety analysis, performance prediction in textile finishing processes, and movie recommendation systems. Given its scope, the book will appeal to postgraduates, researchers, professors, scientists, and practitioners in a range of fields, including reliability engineering and management, maintenance engineering, quality management, statistics, computer science and engineering, mechanical engineering, business analytics, and data science.

Author : Anubha,Sharma, Himanshu
Publisher : IGI Global
Page : 354 pages
File Size : 40,9 Mb
Release : 2023-05-08
Category : Business & Economics
ISBN : 9781668475706

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Data-Driven Approaches for Effective Managerial Decision Making by Anubha,Sharma, Himanshu Pdf

In today’s competitive market, a manager must be able to look at data, understand it, analyze it, and then interpret it to design a smart business strategy. Big data is also a valuable source of information on how customers interact with firms through various mediums such as social media platforms, online reviews, and many more. The applications and uses of business analytics are numerous and must be further studied to ensure they are utilized appropriately. Data-Driven Approaches for Effective Managerial Decision Making investigates management concepts and applications using data analytics and outlines future research directions. The book also addresses contemporary advancements and innovations in the field of management. Covering key topics such as big data, business intelligence, and artificial intelligence, this reference work is ideal for managers, business owners, industry professionals, researchers, scholars, academicians, practitioners, instructors, and students.

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 20 pages
File Size : 48,5 Mb
Release : 2016-04-06
Category : Business & Economics
ISBN : 9781484316498

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IMF Research Bulletin, March 2016 by International Monetary Fund. Research Dept. Pdf

The IMF Research Bulletin includes listings of recent IMF Working Papers and Staff Discussion Notes. The research summaries in this issue are “Explaining the Recent Slump in Investment” (Mathieu Bussiere, Laurent Ferrara, and Juliana Milovich) and “The Quest for Stability in the Housing Markets” (Hites Ahir). The Q&A column reviews “Seven Questions on Estimating Monetary Transmission Mechanism in Low-Income Countries” (Bin Grace Li, Christopher Adam, and Andrew Berg). Also included in this issue are updates on the IMF’s official journal, the IMF Economic Review, and recommended readings from IMF Publications.

Author : Mr. Natan P. Epstein,Lucyna Gornicka,Nga Ha,Karel Musil,Valeriu Nalban
Publisher : International Monetary Fund
Page : 36 pages
File Size : 52,9 Mb
Release : 2022-06-24
Category : Business & Economics
ISBN : 9798400212536

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Quarterly Projection Model for Vietnam: A Hybrid Approach for Monetary Policy Implementation by Mr. Natan P. Epstein,Lucyna Gornicka,Nga Ha,Karel Musil,Valeriu Nalban Pdf

We present a newly developed Quarterly Projection Model (QPM) for Vietnam. This QPM represents an extended version of the canonical New Keynesian semi-structural model, accounting for Vietnam-specific factors, including a hybrid monetary policy framework. The model incorporates the array of policy instruments, specifically interest rates, indicative nominal credit growth guidance, and exchange rate interventions, that the authorities employ to meet the primary objective of price stability. The calibrated model embeds a theoretically consistent monetary transmission mechanism and demonstrates robust in-sample forecasting accuracy, both of which are important prerequisites for the richer analysis and forecast-based narratives that support a forward-looking monetary policy regime.

Author : Takatoshi Ito,Andrew K. Rose
Publisher : University of Chicago Press
Page : 346 pages
File Size : 47,5 Mb
Release : 2011-03
Category : Business & Economics
ISBN : 9780226386898

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Commodity Prices and Markets by Takatoshi Ito,Andrew K. Rose Pdf

Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

Author : Philip Hans Franses,Dick van Dijk
Publisher : Cambridge University Press
Page : 299 pages
File Size : 43,5 Mb
Release : 2000-07-27
Category : Business & Economics
ISBN : 9780521770415

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Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses,Dick van Dijk Pdf

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

Author : Samya Beidas-Strom,Mr.Andrea Pescatori
Publisher : International Monetary Fund
Page : 34 pages
File Size : 41,5 Mb
Release : 2014-12-12
Category : Business & Economics
ISBN : 9781498333481

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Oil Price Volatility and the Role of Speculation by Samya Beidas-Strom,Mr.Andrea Pescatori Pdf

How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Author : Anonim
Publisher : Unknown
Page : 76 pages
File Size : 54,5 Mb
Release : 2008
Category : Economic forecasting
ISBN : IND:30000087928127

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A Small Quarterly Multi-country Projection Model with Financial-real Linkages and Oil Prices by Anonim Pdf

This is the third of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small quarterly projection model of the US, Euro Area, and Japanese economies that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Author : Peter J. N. Sinclair
Publisher : Routledge
Page : 402 pages
File Size : 53,5 Mb
Release : 2009-12-16
Category : Business & Economics
ISBN : 9781135179779

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Inflation Expectations by Peter J. N. Sinclair Pdf

Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Author : Craig Pirrong
Publisher : Cambridge University Press
Page : 238 pages
File Size : 55,5 Mb
Release : 2011-10-31
Category : Business & Economics
ISBN : 9781139501972

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Commodity Price Dynamics by Craig Pirrong Pdf

Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Author : Mr.Jaromir Benes,Kevin Clinton,Asish George,Pranav Gupta,Joice John,Ondra Kamenik,Mr.Douglas Laxton,Pratik Mitra,G.V. Nadhanael,Rafael Portillo,Hou Wang,Fan Zhang
Publisher : International Monetary Fund
Page : 41 pages
File Size : 50,6 Mb
Release : 2017-02-13
Category : Business & Economics
ISBN : 9781475578706

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Quarterly Projection Model for India by Mr.Jaromir Benes,Kevin Clinton,Asish George,Pranav Gupta,Joice John,Ondra Kamenik,Mr.Douglas Laxton,Pratik Mitra,G.V. Nadhanael,Rafael Portillo,Hou Wang,Fan Zhang Pdf

This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward-looking open-economy gap model, calibrated to represent the Indian case, for generating forecasts and risk assessment as well as conducting policy analysis. QPM incorporates several India-specific features like the importance of the agricultural sector and food prices in the inflation process; features of monetary policy transmission and implications of an endogenous credibility process for monetary policy formulation. The paper also describes key properties and historical decompositions of some important macroeconomic variables.

Author : Mr.Tokhir N Mirzoev,Ling Zhu,Yang Yang,Ms.Tian Zhang,Mr.Erik Roos,Mr.Andrea Pescatori,Mr.Akito Matsumoto
Publisher : International Monetary Fund
Page : 55 pages
File Size : 48,9 Mb
Release : 2020-02-06
Category : Business & Economics
ISBN : 9781513525907

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The Future of Oil and Fiscal Sustainability in the GCC Region by Mr.Tokhir N Mirzoev,Ling Zhu,Yang Yang,Ms.Tian Zhang,Mr.Erik Roos,Mr.Andrea Pescatori,Mr.Akito Matsumoto Pdf

The oil market is undergoing fundamental change. New technologies are increasing the supply of oil from old and new sources, while rising concerns over the environment are seeing the world gradually moving away from oil. This spells a significant challenge for oil-exporting countries, including those of the Gulf Cooperation Council (GCC) who account for a fifth of the world’s oil production. The GCC countries have recognized the need to reduce their reliance on oil and are all implementing reforms to diversify their economies as well as fiscal and external revenues. Nevertheless, as global oil demand is expected to peak in the next two decades, the associated fiscal imperative could be both larger and more urgent than implied by the GCC countries’ existing plans.