Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy

Miller, J. Isaac; Ni, Shawn

doi:10.1017/s1365100511000265

Cited by 15 publications

(10 citation statements)

References 44 publications

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“…Extrapolating such a relationship to other developed and developing economies, and since oil is a factor production in global output and is traded globally, global real economic activity is a reasonable proxy for oil demand. Kilian (2009) and Miller and Ni (2011) also made this argument, the latter noting empirical evidence supporting cointegration of linearly detrended log real oil prices (ROIL) with linearly detrended RGDP since 1986.…”

Section: An Application To Nowcasting Economic Activitymentioning

confidence: 88%

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures

Miller

2013

Journal of Financial Econometrics

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Parsimoniously specified distributed lag models have enjoyed a resurgence under the MIDAS moniker (Mixed Data Sampling) as a feasible way to model time series observed at very different sampling frequencies. I introduce cointegrating mixed data sampling (CoMIDAS) regressions. I derive asymptotic limits under substantially more general conditions than the extant theoretical literature allows. In addition to the possibility of cointegrated series, I allow for regressors and an error term with general correlation patterns, both serially and mutually. The nonlinear least squares estimator still obtains consistency to the minimum mean-squared forecast error parameter vector, and the asymptotic distribution of the coefficient vector is Gaussian with a possibly singular variance. I propose a novel test of a MIDAS null against a more general and possibly infeasible alternative mixed-frequency specification. An empirical application to nowcasting global real economic activity using monthly financial covariates illustrates the utility of the approach.

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Section: An Application To Nowcasting Economic Activitymentioning

confidence: 88%

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures

Miller

2013

Journal of Financial Econometrics

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“…These abnormal increases in oil prices enticed researchers to quantify and assess the impact of rising oil prices not just on domestic prices and output, but also other macro variables. The list of studies that have assessed the impact of oil prices on domestic production and inflation includes: Gisser and Goodwin (1986), Lardic and Mignon (2008), Chen (2009), Arouri and Nguyen (2010), Aguiar-Contraria and Soares (2011), Kilian and Vigfusson (2011), Hamilton (2011), Miller andNi (2011), Serletis and Elder (2011), Herrera et al (2011), Engemann et al (2011), Valadkhani et al (2014, Aloui and Dakhlaoui (2015), and Valadkhani and Smyth (2017). The main consensus of these studies is that indeed, higher oil prices have contributed to rising prices and a declining domestic production in oil importing countries.…”

Section: Introductionmentioning

confidence: 99%

International Real Estate Review

Bahmani‐Oskooee¹,

Ghodsi²

2020

IRER

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Since oil is used as an input in the production and delivery process, any change in its price can affect almost all sectors of an economy. Researchers have tried to assess the impact of the rising price of oil on domestic production, inflation, investment, the stock market, etc. In order to determine if inflationary effects of rising oil prices have spread to house prices in the U.S., unlike previous research, we investigate the link between oil prices and house prices by using data from each state of the U.S. Furthermore, for the first time, we engage in asymmetry analysis and find short-run asymmetric effects in almost all of the states but short-run cumulative effects or asymmetric impact in 15 states. Although we also find significant long-run asymmetric effects in 26 states, the results reveal that an increase in oil prices has contributed to house price increase in only 11 states and a decrease in oil prices lowered house prices in only three states.

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“…He et al [95] presented two forecasting models, one based on a vector error correction mechanism and the other based on a transfer function framework with the range taken as a driver variable, for forecasting the daily highs and lows, showing that both of these models offer significant advantages over the naïve random walk and univariate ARIMA models in terms of out-of-sample forecast accuracy. Miller and Ni [96] examined how future real GDP growth relates to changes in the forecasted long-term average of discounted real oil prices and to changes in unanticipated fluctuations of real oil prices around the forecasts. Forecasts were conducted using a state-space oil market model, in which global real economic activity and real oil prices share a common stochastic trend.…”

Section: Introductionmentioning

confidence: 99%

A New Theory to Forecast the Price of Nonrenewable Energy Resources with Mass and Energy-Capital Conservation Equations

Gori

2014

ISRN Mechanical Engineering

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The mass and energy-capital conservation equations are employed to study the time evolution of mass and price of nonrenewable energy resources, extracted and sold to the market, in case of no-accumulation and no-depletion, that is, when the resources are extracted and sold to the market at the same mass flow rate. The Hotelling rule for nonrenewable resources, that is, an exponential increase of the price at the rate of the current interest multiplied the time, is shown to be a special case of the general energy-capital conservation equation when the mass flow rate of extracted resources is unity. The mass and energy-capital conservation equations are solved jointly to investigate the time evolution of the extracted resources.

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Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy

Cited by 15 publications

References 44 publications

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures

International Real Estate Review

A New Theory to Forecast the Price of Nonrenewable Energy Resources with Mass and Energy-Capital Conservation Equations

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