Predicting gasoline prices using Michigan survey data
This study investigates the predictive power of Michigan Surveys of Consumers (MSC) data for gasoline prices. Specifically, we utilize the MSC data on both expected inflation and consumer sentiment to construct a vector autoregressive (VAR) model for forecasting gasoline prices for 2003-2014. Our fi...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | article |
| منشور في: |
2015
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/11073/8169 |
| الوسوم: |
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| _version_ | 1864513436652666880 |
|---|---|
| author | Baghestani, Hamid |
| author_facet | Baghestani, Hamid |
| author_role | author |
| dc.creator.none.fl_str_mv | Baghestani, Hamid |
| dc.date.none.fl_str_mv | 2015-07 2016-03-01T09:22:22Z 2016-03-01T09:22:22Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Baghestani, Hamid. "Predicting gasoline prices using Michigan survey data." Energy Economics 50, no. 4 (July, 2015): 27-32. 0140-9883 http://hdl.handle.net/11073/8169 10.1016/j.eneco.2015.04.015 |
| dc.language.none.fl_str_mv | en_US |
| dc.relation.none.fl_str_mv | http://www.sciencedirect.com/science/article/pii/S0140988315001383 |
| dc.subject.none.fl_str_mv | Energy prices Expected inflation Consumer sentiment Forecast accuracy |
| dc.title.none.fl_str_mv | Predicting gasoline prices using Michigan survey data |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study investigates the predictive power of Michigan Surveys of Consumers (MSC) data for gasoline prices. Specifically, we utilize the MSC data on both expected inflation and consumer sentiment to construct a vector autoregressive (VAR) model for forecasting gasoline prices for 2003-2014. Our findings indicate that the VAR forecasts are superior to the comparable benchmark forecasts obtained from a univariate integrated moving average (MA) model in terms of both predictive information content and directional accuracy. As such, we conclude that the MSC data on both expected inflation and consumer sentiment have significant predictive information for gasoline prices. Further inspection reveals that the VAR forecasts are particularly accurate for the period since 2008, reinforcing the notion that consumers are "economically" rational. |
| format | article |
| id | aus_29ab78e2fdf8988f9f9afe092784df2d |
| identifier_str_mv | Baghestani, Hamid. "Predicting gasoline prices using Michigan survey data." Energy Economics 50, no. 4 (July, 2015): 27-32. 0140-9883 10.1016/j.eneco.2015.04.015 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/8169 |
| publishDate | 2015 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Predicting gasoline prices using Michigan survey dataBaghestani, HamidEnergy pricesExpected inflationConsumer sentimentForecast accuracyThis study investigates the predictive power of Michigan Surveys of Consumers (MSC) data for gasoline prices. Specifically, we utilize the MSC data on both expected inflation and consumer sentiment to construct a vector autoregressive (VAR) model for forecasting gasoline prices for 2003-2014. Our findings indicate that the VAR forecasts are superior to the comparable benchmark forecasts obtained from a univariate integrated moving average (MA) model in terms of both predictive information content and directional accuracy. As such, we conclude that the MSC data on both expected inflation and consumer sentiment have significant predictive information for gasoline prices. Further inspection reveals that the VAR forecasts are particularly accurate for the period since 2008, reinforcing the notion that consumers are "economically" rational.2016-03-01T09:22:22Z2016-03-01T09:22:22Z2015-07info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfBaghestani, Hamid. "Predicting gasoline prices using Michigan survey data." Energy Economics 50, no. 4 (July, 2015): 27-32.0140-9883http://hdl.handle.net/11073/816910.1016/j.eneco.2015.04.015en_UShttp://www.sciencedirect.com/science/article/pii/S0140988315001383oai:repository.aus.edu:11073/81692024-08-22T12:18:04Z |
| spellingShingle | Predicting gasoline prices using Michigan survey data Baghestani, Hamid Energy prices Expected inflation Consumer sentiment Forecast accuracy |
| status_str | publishedVersion |
| title | Predicting gasoline prices using Michigan survey data |
| title_full | Predicting gasoline prices using Michigan survey data |
| title_fullStr | Predicting gasoline prices using Michigan survey data |
| title_full_unstemmed | Predicting gasoline prices using Michigan survey data |
| title_short | Predicting gasoline prices using Michigan survey data |
| title_sort | Predicting gasoline prices using Michigan survey data |
| topic | Energy prices Expected inflation Consumer sentiment Forecast accuracy |
| url | http://hdl.handle.net/11073/8169 |