SHOULD OIL PRICES RECEIVE SO MUCH ATTENTION? AN EVALUATION OF THE PREDICTIVE POWER OF OIL PRICES FOR THE U.S. ECONOMY

Economic Inquiry - Tập 46 Số 4 - Trang 528-539 - 2008
Lance Bachmeier1,2, Qi Li3,2, Dandan Liu4,2
1Bachmeier: Assistant Professor, Department of Economics, Kansas State University, Manhattan, KS 66506. Phone 785-532-4578,
2We wish to thank John Chao, Lutz Kilian, Norm Swanson, an anonymous referee, and the editor, Dennis Jansen, for many helpful comments. We are especially grateful to Phil Rothman for suggesting this topic.
3Li: Professor, Department of Economics, Texas A&M University, College Station, TX 77843-4228. Phone 979-845-9954,
4Liu: Assistant Professor, Department of Economics, Bowling Green State University, Bowling Green, OH 43403-0001. Phone 419-372-4879,

Tóm tắt

This paper evaluates the potential gains from using oil prices to forecast a variety of measures of inflation, economic activity, and monetary policy–related variables. With a few exceptions, oil prices do not have any predictive content for these variables. This finding is robust to the use of rolling forecast windows, the use of industry‐level data, changes in the forecast horizon, and allowing for nonlinearities. (JEL Q43, E37, C32)

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Economic Inquiry

Tập 46 Số 4

528-539

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