This GitHub page contains the latest draft, data, (not for publication) appendix and database documentation for the paper by Garratt, Vahey and Zhang “Real-time Forecast Combinations for the Oil Price”. The database will be updated quarterly. There is a NIESR working paper and website . The paper was published in the Journal of Applied Econometrics.
Abstract: Baumeister and Kilian (2015) combine forecasts from six empirical models to predict real oil prices. In this paper, we broadly reproduce their main economic findings, employing their preferred measures of the real oil price and similar real-time variables. Mindful of the importance of Brent crude oil as a global price benchmark, we extend consideration to the North Sea based measure and update the evaluation sample to 2017:12. We model the oil price futures curve using a factor-based Nelson-Siegel specification to fill in missing values of crude oil price futures in the source data. We find that the combined forecasts for Brent are as effective as for other oil price measures. The extended sample using the oil price measures adopted by Baumeister and Kilian (2015) yields similar results to those reported in their paper. And the futures-based model improves forecast accuracy at longer horizons.
Shaun P. Vahey 