Predicting gasoline prices using Michigan survey data

Baghestani, Hamid

doi:10.1016/j.eneco.2015.04.015

Cited by 23 publications

(11 citation statements)

References 23 publications

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“…Notes 1. The inflation forecasts from the Michigan survey of consumers have been shown to contain useful predictive information for energy prices (See, among others, Baghestani, 2014aBaghestani, , 2015. 2.…”

Section: Discussionmentioning

confidence: 99%

Long-term interest rate predictability: Exploring the usefulness of survey forecasts of growth and inflation

Baghestani

2019

Cogent Economics & Finance

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This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk forecasts of TBR and Aaa generally fail to be orthogonal to changes in SPF inflation (but not growth) forecasts. Such findings point to the potential usefulness of SPF inflation forecasts in improving the accuracy of SPF and random walk forecasts of TBR and Aaa. Further results indicate that changes in SPF inflation forecasts accurately predict directional change in both TBR and Aaa at longer forecast horizons for 2008-2017 (but not for 1993-2007). These latter results raise the question of whether long-term interest rates have become easier to predict, which deserves subsequent research.

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Section: Discussionmentioning

confidence: 99%

Long-term interest rate predictability: Exploring the usefulness of survey forecasts of growth and inflation

Baghestani

2019

Cogent Economics & Finance

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“…In answering, we employ the method originally proposed by Henriksson and Merton () and Merton () in evaluating the directional accuracy of market‐timing forecasts and later applied to evaluating the directional accuracy of financial and macroeconomic forecasts (see, among others, Schnader and Stekler () and Baghestani (, )). The forecast is of value to a user if it can accurately predict the direction of change in the actual series (Stekler, ).…”

Section: Forecast Evaluation Resultsmentioning

confidence: 99%

Predicting United Arab Emirates' real effective exchange rates using oil prices

Baghestani

AbuAl-Foul

2019

OPEC Energy Review

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We examine whether oil prices help produce accurate forecasts of the real broad effective exchange rate of the United Arab Emirates (UAE). Using monthly data for 1994–1999, we formulate a univariate moving average (MA) and an augmented moving average (A‐MA) model to generate multi‐period forecasts of UAE real exchange rates for 2000–2019. The MA model utilises past information in real exchange rates, while the A‐MA model utilises past information in both real exchange rates and oil prices. Our results indicate that oil prices help produce accurate forecasts of UAE real exchange rates only for 2000–2009; that is, for this period, the A‐MA forecasts are unbiased, outperform the MA forecasts and are directionally accurate. As for 2009–2019, we take a non‐parametric approach and show that oil price changes accurately predict directional change in UAE real effective exchange rates.

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“…As already stated, this study investigates the asymmetric response of consumer spending on gasoline to deviation of consumer sentiment from its long‐run trend. Therefore, we differ from such studies as Johnson and Lamdin () and Baghestani () who examine the relationship between consumer sentiment and gasoline prices. Johnson and Lamdin () examine the impact of gasoline price on consumer sentiment and conclude that a rise (fall) in gasoline prices leads to a fall (rise) in consumer sentiment.…”

Section: Related Literaturementioning

confidence: 87%

“…Johnson and Lamdin () examine the impact of gasoline price on consumer sentiment and conclude that a rise (fall) in gasoline prices leads to a fall (rise) in consumer sentiment. Baghestani () examines the predictive power of the Michigan Surveys of Consumers data for gasoline prices. He concludes that consumer sentiment and expected inflation together have significant predictive information for gasoline prices.…”

Section: Related Literaturementioning

confidence: 99%

Asymmetries in US demand for gasoline

2016

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Many studies have investigated the asymmetric responses of energy demand to changes in income and price. In estimating the US demand function for gasoline, we also consider consumer sentiment as a determining factor. In line with the income ratchet effect in consumption, our findings for 1991Q1-2015Q1 indicate that gasoline demand asymmetrically responds to deviation of income from its long-run trend. Similar asymmetric responses are found with respect to deviation of consumer sentiment from its long-run trend. In contrast, gasoline demand responds symmetrically to the deviation of price from its long-run trend and to the gap between actual and desired spending. Further results indicate that gasoline demand is price-inelastic, income-inelastic and inelastic with respect to consumer sentiment both in the short and long run.

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Predicting gasoline prices using Michigan survey data

Cited by 23 publications

References 23 publications

Long-term interest rate predictability: Exploring the usefulness of survey forecasts of growth and inflation

Long-term interest rate predictability: Exploring the usefulness of survey forecasts of growth and inflation

Predicting United Arab Emirates' real effective exchange rates using oil prices

Asymmetries in US demand for gasoline

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