星期五, 11月 29, 2013

Crude Oil Price Forecast

One new paper on forecasting oil prices by Christiane Baumeister (Bank of Canada), Pierre Guérin (Bank of Canada), and Lutz Kilian (University of Michigan).

The paper concludes that "typically not much is lost by ignoring high-frequency financial data in forecasting the monthly real price of oil."

https://www.ifk-cfs.de/2282.html?PHPSESSID=09fca77c1231fd86a4fa39b256489216

星期四, 8月 22, 2013

Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks


Given that crude oil price is one of the key variables in forecasting macroeconomic aggregates, including real GDP and inflation, the forecasting of crude oil prices has become the focus of many economists and decision makers. The recent literature has already explored the forecasting ability of a number of predictors for the price of oil, including the oil futures price, oil inventories, the price of crack spread futures, the price of industrial raw materials (other than crude oil), the dollar exchange rate of major broad-based commodity exporters, U.S. and global macroeconomic aggregates, and expert survey forecasts.

In my recent paper,  Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks (forthcoming in Economic Inquiry ), I propose a new leading indicator, namely, oil-sensitive stock price indices, to forecast the price of crude oil instead. There are several reasons for considering stock prices as predictors of spot crude oil prices. First, as global stock markets have become more integrated, stock prices should be a reliable leading indicator of boom and bust in the economy, respectively resulting in the increasing and decreasing demand for oil. We thus expect stock prices to predict oil prices well. Furthermore, Kilian and Vega(2011) show that unlike stock prices, the price of WTI crude oil does not respond significantly to macroeconomic news in the U.S. within either the day or the month. Hence, in response to the same macroeconomic news, we expect a lead–lag relationship between stock prices and oil prices. In particular, we consider oil-sensitive stock price indices, which may be more informative in tracing future changes in crude oil prices. Finally, stock prices appear superior as a leading indicator because timely stock price data are readily available for forecasting purposes. As stock prices are not subject to revision, the proposed predictor can be used in real-time data forecasts and even extended to consider price data at higher frequencies.
I uses monthly data from 1984:M10 to 2012:M8 to show that oil-sensitive stock price indices, particularly those in the energy sector, have strong power in predicting nominal and real crude oil prices at short horizons (one-month-ahead predictions), using both in- and out-of-sample tests. In particular, the forecasts based on oil-sensitive stock price indices are able to outperform significantly the no-change forecasts. For example, using the NYSE Arca (AMEX) oil index as a predictor, the one-month-ahead forecasts for nominal crude oil prices reduce the mean squared prediction error by between 22% (for the West Texas Intermediate oil price) and 28% (for the Dubai oil price). Moreover, we find that the directional forecast based the AMEX oil index is significantly better than a 50:50 coin toss. The novelty of this analysis is that it proposes a new and valuable predictor that both reflects timely market information and is readily available for forecasting the spot oil price.

星期三, 8月 14, 2013

大學生值得投資的其他五件事

Inside Jobs Blog 有一篇不錯的文章, 裡面提到除了爭取好成績, 在大學中值得投資的其他五件事 (well, 原標題是"更重要的五件事" Straight A’s Don’t Pay: 5 Things More Important Than Your GPA):
1) 學習與他人合作共事

2) 爭取實習機會

3) 友誼與一生受用的休閒嗜好

4) 磨練寫作能力
(這裡有另一篇值得參考的文章: "請先寫好中文作文")

5) 培養出愈挫愈勇的態度
(聽起來好像應該要多多來修我的課)

參見原文連結:
http://www.insidejobs.com/blog/straight-a-s-don-t-pay-5-things-more-important-than-your-gpa

星期六, 7月 20, 2013

有趣的書評

這是我最近在網路上發現的書評:

http://panbook.blogspot.tw/2013/07/blog-post_9768.html

所以應該要在此提供一下警語: 要買我的書之前請三思啊...





星期五, 7月 05, 2013

經濟學家傳承 RePEc Genealogy


RePEc Genealogy
是 RePEc 最新的 project, 目的在於建立經濟學家的傳承連結, 透過該網站, 我們可以建立自己的相關訊息,包括畢業學校與年份, 以及指導教授與指導學生. 以我自己為例, 傳承為:

 Stanley Fischer (1st generation)
==> Kenneth D. West (2nd)
==> Shiu-Sheng Chen (3rd)
==> Yu-Hsi Chou (4th)

因此, Stanley Fischer (以色列現任央行總裁) 就算是我師公輩啦! 根據網上的資料,
Stanley Fischer 所指導的學生有:

  1. Bernanke, Ben S. (correct)
  2. Mankiw, N. Gregory (correct)
  3. Rodríguez, Carlos Alfredo (correct)
  4. Rose, Andrew Kenan (correct)
  5. Shapiro, Matthew D. (correct)
  6. Smith, Bruce D. (correct)
  7. West, Kenneth D. (correct)

也就是說, Stanley Fischer 是太師父的話, Ben Bernanke 算是師伯, 而 Mankiw 就是師叔~