Christiane Baumeister


A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Staff Working Paper 2016-18 Christiane Baumeister, Lutz Kilian
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.

Are There Gains from Pooling Real-Time Oil Price Forecasts?

Staff Working Paper 2014-46 Christiane Baumeister, Lutz Kilian, Thomas K. Lee
The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years.

13 May 2014 The Art and Science of Forecasting the Real Price of Oil

Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations.

Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work

Staff Working Paper 2014-11 Christiane Baumeister, Pierre Guérin, Lutz Kilian
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets.

Do Oil Price Increases Cause Higher Food Prices?

Staff Working Paper 2013-52 Christiane Baumeister, Lutz Kilian
U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases in the real price of oil.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31, Q, Q1, Q11, Q4, Q42, Q43

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