ENEFOR · Forecasting oil prices, oil price volatility and economic policy uncertainty
Horizon 2020 — Marie Skłodowska-Curie Actions
- Duration
- 2015-04-06 → 2017-04-05
- EU contribution
- €164,653
- Participants
- 1
- Scheme
- MSCA-IF-EF-ST
Lines connect the coordinator with its partners.
Results in brief
Forecasting oil prices, oil price volatility and economic policy uncertainty
Oil price and oil price volatility forecasts are of major importance, given the oil market is well crowded by participants who proceed to decisions based on these forecasts (e.g. oil traders, monetary policy authorities, etc). The current state-of-the-art forecasting techniques, though, (i) involve a trade-off among internal consistency, forecasting accuracy and easiness to communicate aspects and (ii) do not use ultra-high frequency data. Thus, this exciting and innovative project aimed to develop new econometric model frameworks to forecast oil price and oil price volatility, which would be successful in enhancing internal consistency, forecasting accuracy and easiness to communicate extracting added-value (in terms of predictability) information from the ultra-high sampling frequency. In addition, this project aimed to use the forecasted oil price volatility to predict the economic policy uncertainty in Europe, given that oil price shocks exert significant impact on the effectiveness of economic policy. The conclusions of the action were very encouraging and opened new avenues of research in the line of research which concerns the forecasts of oil prices, oil price volatility and economic policy uncertainty. In particular, we show that the information extracted from the exogenous financial and commodities assets volatilities and returns (i.e. the “information channels” by which asset classes impact the oil market behavior), based on ultra-high frequency data, provide significant incremental predictive gains on oil prices, oil price volatility and economic policy uncertainty.
Data: CORDIS, © European Union
Project objective
Oil price and oil price volatility forecasts are of major importance, given the oil market is well crowded by participants who proceed to decisions based on these forecasts (e.g. oil traders, monetary policy authorities, etc). The current state-of-the-art forecasting techniques, though, (i) involve a trade-off among internal consistency, forecasting accuracy and easiness to communicate aspects and (ii) do not use ultra high frequency data. Thus, this exciting and innovative project aims to develop new econometric model frameworks to forecast oil price and oil price volatility, which will be successful in enhancing internal consistency, forecasting accuracy and easiness to communicate extracting added-value (in terms of predictability) information from the ultra high sampling frequency. In addition, this project aims to use the forecasted oil price volatility to predict the economic policy uncertainty in Europe, given that oil price shocks exert significant impact on the effectiveness of economic policy. This project will allow the researcher to advance his existing scientific and transferable skills through the cutting-edge training in the state-of-the-art forecasting techniques, as well as, in programming, consultancy and policy formulation skills. The outcome of this training (i) will provide the fellow with an invaluable opportunity for the development of a pioneering research agenda and (ii) will position him as an internationally recognised scholar that contributes to research excellence in Europe. The established capacity of the fellow as an independent researcher in the area of energy economics, the expertise of the scientist-in-charge in state-of-the-art forecasting techniques and the infrastructure of the host organisation offer great complementarities, which will allow these highly innovative model frameworks to be realised. This project will have a great impact not only to the researcher, but also to the host organisation and to the European Research Area
Original text from CORDIS.
Participants
- PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON · KALLITHEA ATHINACoordinatorGreece
Links
Data: CORDIS, © European Union