Inflation expectations and energy price forecasting
In this study, we ask whether US consumers' inflation expectations provide useful information for accurately predicting the direction of change in energy prices. As such, we set up a forecasting model to generate the one-, two- and three-quarter-ahead random walk forecasts of crude oil, gasolin...
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2014
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| Online Access: | http://hdl.handle.net/11073/8175 |
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| author | Baghestani, Hamid |
| author_facet | Baghestani, Hamid |
| author_role | author |
| dc.creator.none.fl_str_mv | Baghestani, Hamid |
| dc.date.none.fl_str_mv | 2014-03 2016-03-02T06:08:18Z 2016-03-02T06:08:18Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Baghestani, Hamid. "Expected inflation and energy price forecasting." O P E C Energy Review: energy economics and related issues 38, no. 1 (March, 2014): 21-35. 1753-0237 http://hdl.handle.net/11073/8175 10.1111/opec.12016 |
| dc.language.none.fl_str_mv | en_US |
| dc.relation.none.fl_str_mv | http://onlinelibrary.wiley.com/doi/10.1111/opec.12016/abstract |
| dc.title.none.fl_str_mv | Inflation expectations and energy price forecasting |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | In this study, we ask whether US consumers' inflation expectations provide useful information for accurately predicting the direction of change in energy prices. As such, we set up a forecasting model to generate the one-, two- and three-quarter-ahead random walk forecasts of crude oil, gasoline and heating oil prices. For the period 1987–2012, our test results reveal that the forecasts are free of systematic bias and thus imply symmetric loss. Also, they are generally efficient, where efficiency means the forecast error is uncorrelated with its own past values. The random walk forecast errors are, however, correlated with the change in inflation expectations (measured by the data from the Michigan Surveys of Consumers). Thus, we conclude such expectations may contain useful predictive information for crude oil, gasoline and heating oil prices. Consistent with this conclusion, we show that the change in inflation expectations accurately predicts the direction of change in such energy prices for 1987–2012. |
| format | article |
| id | aus_8fc67d49b80c3e9c5c8c29e03cb13f8b |
| identifier_str_mv | Baghestani, Hamid. "Expected inflation and energy price forecasting." O P E C Energy Review: energy economics and related issues 38, no. 1 (March, 2014): 21-35. 1753-0237 10.1111/opec.12016 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/8175 |
| publishDate | 2014 |
| repository.mail.fl_str_mv | |
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| repository_id_str | |
| spelling | Inflation expectations and energy price forecastingBaghestani, HamidIn this study, we ask whether US consumers' inflation expectations provide useful information for accurately predicting the direction of change in energy prices. As such, we set up a forecasting model to generate the one-, two- and three-quarter-ahead random walk forecasts of crude oil, gasoline and heating oil prices. For the period 1987–2012, our test results reveal that the forecasts are free of systematic bias and thus imply symmetric loss. Also, they are generally efficient, where efficiency means the forecast error is uncorrelated with its own past values. The random walk forecast errors are, however, correlated with the change in inflation expectations (measured by the data from the Michigan Surveys of Consumers). Thus, we conclude such expectations may contain useful predictive information for crude oil, gasoline and heating oil prices. Consistent with this conclusion, we show that the change in inflation expectations accurately predicts the direction of change in such energy prices for 1987–2012.2016-03-02T06:08:18Z2016-03-02T06:08:18Z2014-03info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfBaghestani, Hamid. "Expected inflation and energy price forecasting." O P E C Energy Review: energy economics and related issues 38, no. 1 (March, 2014): 21-35.1753-0237http://hdl.handle.net/11073/817510.1111/opec.12016en_UShttp://onlinelibrary.wiley.com/doi/10.1111/opec.12016/abstractoai:repository.aus.edu:11073/81752024-08-22T12:18:36Z |
| spellingShingle | Inflation expectations and energy price forecasting Baghestani, Hamid |
| status_str | publishedVersion |
| title | Inflation expectations and energy price forecasting |
| title_full | Inflation expectations and energy price forecasting |
| title_fullStr | Inflation expectations and energy price forecasting |
| title_full_unstemmed | Inflation expectations and energy price forecasting |
| title_short | Inflation expectations and energy price forecasting |
| title_sort | Inflation expectations and energy price forecasting |
| url | http://hdl.handle.net/11073/8175 |