The B.E. Journal of Macroeconomics
Editor-in-Chief: Cavalcanti, Tiago / Kambourov, Gueorgui
Ed. by Abraham, Arpad / Carceles-Poveda , Eva / Debortoli, Davide / Lambertini, Luisa / Nimark, Kristoffer / Wang, Pengfei
2 Issues per year
IMPACT FACTOR 2016: 0.043
5-year IMPACT FACTOR: 0.376
CiteScore 2016: 0.36
SCImago Journal Rank (SJR) 2016: 0.312
Source Normalized Impact per Paper (SNIP) 2016: 0.272
Risk-Adjusted Forecasts of Oil Prices
This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time U.S. business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is robust to the specification of the estimating equation and to the considered business cycle indicator. An out-of-the-sample prediction exercise reveals that futures adjusted to take into account this time-varying component produce significantly better forecasts than those of unadjusted futures, of futures adjusted for the average forecast error and of the random walk, particularly at horizons of more than 6 months.
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