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HAM PETROL FİYATININ ÇOK TAHMİNCİ İLE TAHMİNİ

Year 2016, Volume: 1 Issue: 1, 133 - 151, 20.06.2016

Abstract

Bu makale petrol futures fiyatları, belirli ülkelerin döviz kurları ve borsa endeksleri gibi birçok değişkenin ham petrol fiyatlarını tahmin etme yeteneğini araştırmayı amaçlamaktadır. Elde edilen örneklem-dışı tahmin sonuçları petrol futures fiyatlarının bir aylık dönemde marjinal bir tahmin gücü olduğunu ancak daha uzun dönemlerde tahmin gücünün kaybolduğunu göstermektedir. Diğer yandan, döviz kurlarının tahmin gücünün daha uzun dönemli olduğu tespit edilmiştir. Ayrıca bu makalede tahmin ortalamaları ve değişken seçimi yöntemleri de kullanılmış ve tahmin ortalama yöntemlerinin tahmin performansını artırdığı bulunmuştur.

References

  • Alquist, R., & Kilian, L. (2010). “What do we learn from the price of crude oil futures?”, Journal of Applied Econometrics, 25(4), 539-573.
  • Alquist, R., Kilian, L., & Vigfusson, R. J. (2013). “Forecasting the price of oil”, Handbook of Economic Forecasting, 2, 427-507.
  • Banternghansa, C., & McCracken, M. W. (2011). “Real-time forecast averaging with ALFRED”, FRB of St. Louis Review, 93(1), 49-66.
  • Barsky, R. B., & Kilian, L. (2004). “Oil and the macroeconomy since the 1970s”, The Journal of Economic Perspectives, 18(4), 115-134.
  • Chen, Y.C., Rogoff, K., & Rossi, B. (2010). “Can exchange rates forecast commodity prices?”, The Quarterly Journal of Economics, 125(3), 1145-1194.

FORECASTING THE PRICE OF CRUDE OIL WITH MULTIPLE PREDICTORS

Year 2016, Volume: 1 Issue: 1, 133 - 151, 20.06.2016

Abstract

For the price of crude oil, this paper aims to investigate the predictive content of a variety of variables including oil futures prices, exchange rates of particular countries and stock-market indexes. Out-of-sample forecasting results suggest that oil futures prices have marginal predictive power for the price of oil at a 1-month forecast horizon. However, they generally lose their forecasting power at higher forecast horizons. The results also suggest that exchange rates help predicting oil prices at higher forecast horizons. Th e paper also considers forecast averaging and variable selection methods, and fınds that forecast averaging significantly improves the forecasting performances.

References

  • Alquist, R., & Kilian, L. (2010). “What do we learn from the price of crude oil futures?”, Journal of Applied Econometrics, 25(4), 539-573.
  • Alquist, R., Kilian, L., & Vigfusson, R. J. (2013). “Forecasting the price of oil”, Handbook of Economic Forecasting, 2, 427-507.
  • Banternghansa, C., & McCracken, M. W. (2011). “Real-time forecast averaging with ALFRED”, FRB of St. Louis Review, 93(1), 49-66.
  • Barsky, R. B., & Kilian, L. (2004). “Oil and the macroeconomy since the 1970s”, The Journal of Economic Perspectives, 18(4), 115-134.
  • Chen, Y.C., Rogoff, K., & Rossi, B. (2010). “Can exchange rates forecast commodity prices?”, The Quarterly Journal of Economics, 125(3), 1145-1194.
There are 5 citations in total.

Details

Subjects Economics
Journal Section Articles
Authors

Hüseyin Kaya

Publication Date June 20, 2016
Published in Issue Year 2016 Volume: 1 Issue: 1

Cite

APA Kaya, H. (2016). HAM PETROL FİYATININ ÇOK TAHMİNCİ İLE TAHMİNİ. Siyasal Bilgiler Fakültesi Dergisi, 1(1), 133-151.