Should Oil Prices Receive So Much Attention? An Evaluation of the Predictive Power of Oil Prices for the U.S. Economy.

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 roll...

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Detalles Bibliográficos
Publicado en:Economic Inquiry Vol. 46; no. 4; pp. 528 - 540
Autores principales: Bachmeier, Lance, Li, Qi, Liu, Dandan
Formato: Artículo
Publicado: Wiley-Blackwell October 2008
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Acceso en línea:Ver este registro en EBSCOhost
Descripción
Sumario: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) Reprinted by permission of the publisher.