Journal
ECONOMICS LETTERS
Volume 132, Issue -, Pages 125-128Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2015.04.023
Keywords
Oil prices; Economic policy uncertainty; Forecasting
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Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1-2014:2. (C) 2015 Elsevier B.V. All rights reserved.
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