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    Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy

    Miller, J. Isaac
    Ni, Shawn, 1962-
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    [PDF] LongTermOilPrice.pdf (479.5Kb)
    Date
    2010
    Format
    Working Paper
    Metadata
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    Abstract
    We examine how future real GDP growth relates to changes in the forecasted longterm average of discounted real oil prices and to changes in unanticipated fluctuations of real oil prices around the forecasts. Forecasts are conducted using a state-space oil market model, in which global real economic activity and real oil prices share a common stochastic trend. Changes in unanticipated fluctuations and changes in the forecasted longterm average of discounted real oil prices sum to real oil price changes. We find that these two components have distinctly different relationships with future real GDP growth. Positive and negative changes in the unanticipated fluctuations of real oil prices correlate with asymmetric responses of future real GDP growth. In comparison, changes in the forecasted long-term average are smaller in magnitude but are more influential on real GDP. Persistent upward revisions of forecasts in the 2000s had a substantial negative impact on real GDP growth, according to our estimates.
    URI
    http://hdl.handle.net/10355/10319
    Part of
    Working papers (Department of Economics);WP 10-12
    Part of
    Economics publications (MU)
    Citation
    Department of Economics, 2010
    Rights
    OpenAccess.
    This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.
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    • Economics publications (MU)

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