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- W4384564327 abstract "In macroeconomic forecasting, the real price of oil is traditionally computed as the monthly average price of oil deflated by the price index. Consequently, the no-change forecast used to benchmark forecasts of the real price of crude oil is a monthly average price. We demonstrate that an alternative no-change forecast which reflects the random walk forecast from daily oil prices – the end-of-month price – is significantly more accurate in predicting the real price of oil up to one year ahead. We find that at the one-step-ahead prediction, all existing forecasts that outperform the monthly average no-change forecast perform worse than the end-of-month no-change forecast. The results call into question the usefulness of existing forecasting approaches for the real price of crude oil relative to naive forecasts." @default.
- W4384564327 created "2023-07-18" @default.
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- W4384564327 date "2023-09-01" @default.
- W4384564327 modified "2023-10-14" @default.
- W4384564327 title "Forecasts of the real price of oil revisited: Do they beat the random walk?" @default.
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- W4384564327 doi "https://doi.org/10.1016/j.jbankfin.2023.106962" @default.
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