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Oil-Price Density Forecasts of U.S. GDP

Ravazzolo, Francesco; Rothman, Philip
Working paper
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URI
http://hdl.handle.net/11250/2365472
Date
2015
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Abstract
We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with

an autoregressive benchmark and alternatives to the benchmark than include both oil

prices and stochastic volatility. The alternatives to the benchmark produce superior

density forecasts. This comparative density performance appears to be driven more

by stochastic volatility than by oil prices. We use our density forecasts to compute

a recession risk indicator around the Great Recession. The alternative model that

includes the real price of oil generates the earliest strong signal of a recession; but it

also shows increased recession risk after the Great Recession.
Publisher
BI Norwegian Business School
Series
CAMP Working Papers Series;10/2015

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