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Article: SHOULD OIL PRICES RECEIVE SO MUCH ATTENTION? AN EVALUATION OF THE PREDICTIVE POWER OF OIL PRICES FOR THE U.S. ECONOMY
- Article from:
- Economic Inquiry
- Article date:
- October 1, 2008
- Author:
CopyrightCopyright Western Economic Association Oct 2008. Provided by ProQuest LLC. (Hide copyright information)
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This paper evaluates the potential gains from using oil prices to forecast a variety of measures of inflation, economic activity, and monetary policy-related variables. With a few exceptions, oil prices do not have any predictive content for these variables. This finding is robust to the use of rolling forecast windows, the use of industry-level data, changes in the forecast horizon, and allowing for nonlinearities. (JEL Q43, E37, C32)
ABBREVIATIONS
AR: Autoregressive
CCS: Chao, Corradi, and Swanson (2001)
CPI: Consumer Price Index
CS: Corradi and Swanson (2007)
DM: Diebold and Mariano (1995)
FRED: Federal Reserve Economic Database
GDP: Gross Domestic Product
MSE: Mean-Squared Prediction ...