## Abstract The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield, which can be derived from the costβofβcarry relationship. In a recursi
The Price of Crude Oil
β Scribed by Bakhtiari, A.M. Samsam
- Book ID
- 108554416
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 130 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0277-0180
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We thank the editor and referee for their valuable comments and suggestions. We also thank Professor Lutz Kilian for providing us the program code to compute the robust P-values.
## Abstract Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the meanβsquared prediction error sense than noβchange forecasts. This result is driven by the variability of the futures price about the spot price, as captured by the oi
We revisit the issue of asymmetries in the relation between the price of crude oil and refined petroleum products in the United States. An econometric analysis of monthly data indicates that the asymmetric relation between the price of crude oil and motor gasoline is generated by refinery utilizatio