IJF Replication Package for "Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil?"
Principal Investigator(s): View help for Principal Investigator(s) Amor Aniss Benmoussa, Bank of Canada; Reinhard Ellwanger, Bank of Canada; Stephen Snudden, Wilfrid Laurier University
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| CarpeDiemReplication | 03/13/2025 11:09:AM | ||
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application/pdf | 281 KB | 03/13/2025 07:08:AM |
Project Citation:
Benmoussa, Amor Aniss , Ellwanger, Reinhard , and Snudden, Stephen. IJF Replication Package for “Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil?” Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-03-13. https://doi.org/10.3886/E222743V1
Project Description
Summary:
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Complete replication and data package. Abstract: This paper proposes methods to include information from the underlying nominal daily series in model-based forecasts of average real series. We apply these methods to forecasts of the real price of crude oil. Models utilizing information from daily prices yield large forecast improvements and, in some cases, almost halve the forecast error compared to current specifications. We demonstrate for the first time that model-based forecasts of the real price of crude oil can outperform the traditional random walk forecast, that is the end-of-month no-change forecast, at short forecast horizons.
Scope of Project
Subject Terms:
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Forecasting Methods ;
Time Series Analysis ;
Temporal Aggregation ;
Oil Price Forecasts ;
Real-Time Data ;
Macroeconomic Forecasting
Time Period(s):
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1973 – 2021
Data Type(s):
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aggregate data;
observational data
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