[Forum SIS] seminario di Francesco Ravazzolo all'Università di Brescia

[casarin a eco.unibs.it]

Il giorno Martedì 26 ottobre, 2010, ore 13.30 nella Sala Riunioni  
della Presidenza, Università di Brescia, Via San Faustino 74/b, Brescia

Dr. Francesco Ravazzolo
Research Department
Norges Bank

terrà un seminario dal titolo

Oil and US GDP: A real-time out-of-sample examination

Abstract:
We study the real-time Granger-causal relationship between crude oil  
prices and US GDP growth through a simulated out-of-sample (OOS)  
forecasting exercise; we also provide strong evidence of in-sample  
predictability from oil prices to GDP. Comparing our benchmark model  
"without oil" against alternatives "with oil," we strongly reject the  
null hypothesis of no OOS predictability from oil prices to GDP via  
our point forecast comparisons from the mid-1980s through the Great  
Recession. Further analysis shows that these results may be due to our  
oil price measures serving as proxies for a recently developed measure  
of global real economic activity omitted from the alternatives to the  
benchmark forecasting models in which we only use lags of GDP growth.  
By way of density forecast OOS comparisons, we find evidence of such  
oil price predictability for GDP for our full 1970-2009 OOS period.  
Examination of the density forecasts reveals a massive increase in  
forecast uncertainty following the 1973 post-Yom Kippur War crude oil  
price increases.

-- 
Roberto Casarin
Dept. of Economics
University of Brescia
Adress: Via San Faustino, 74/b
         25122 Brescia, Italy
Phone:  +39 030.298.88.09
Fax:    +39 030.298.88.37
E-mail: casarin a eco.unibs.it
Web:    http://www.eco.unibs.it/~casarin/