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Oil and U.S. GDP: A Real-Time Out-of-Sample Examination
We study the real-time predictive content of crude oil prices for U.S. real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," we strongly reject the null hypothesis of no OOS populati...
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| Published in: | Journal of money, credit and banking credit and banking, 2013-03, Vol.45 (2-3), p.449-463 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c4949-561ecdec2b50dfe8042900f077f925f32d7a7d7d4223e980747af774e10c42833 |
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| cites | cdi_FETCH-LOGICAL-c4949-561ecdec2b50dfe8042900f077f925f32d7a7d7d4223e980747af774e10c42833 |
| container_end_page | 463 |
| container_issue | 2-3 |
| container_start_page | 449 |
| container_title | Journal of money, credit and banking |
| container_volume | 45 |
| creator | RAVAZZOLO, FRANCESCO ROTHMAN, PHILIP |
| description | We study the real-time predictive content of crude oil prices for U.S. real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," we strongly reject the null hypothesis of no OOS population-level predictability from oil prices to GDP at the longer forecast horizon we consider. This examination of the global OOS relative performance of the models we consider is robust to use of ex post revised data. But when we focus on the forecasting models' local relative performance, we observe strong differences across use of real-time and ex post revised data. |
| doi_str_mv | 10.1111/jmcb.12009 |
| format | article |
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| identifier | ISSN: 0022-2879 |
| ispartof | Journal of money, credit and banking, 2013-03, Vol.45 (2-3), p.449-463 |
| issn | 0022-2879 1538-4616 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1322727255 |
| source | EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); Wiley; JSTOR Archival Journals and Primary Sources Collection【Remote access available】 |
| subjects | Benchmarking C22 C53 Crude oil Crude oil prices E32 E37 Economic forecasting Economic forecasts Economic growth Economic growth models Economic models Economic performance forecasting Forecasting models GDP Gross Domestic Product Import prices Modeling oil Oil price Oil prices Predictability Real gross domestic product real-time data recessions SHORTER PAPERS, DISCUSSIONS, AND LETTERS Statistical forecasts Studies U.S.A |
| title | Oil and U.S. GDP: A Real-Time Out-of-Sample Examination |
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