Research Field(s): Applied Econometrics Empirical Finance Forecasting Quantitative Macroeconomics Resource and Energy Economics Time Series

Staff research

Forecasting oil prices: What works best and when

Sparks at Bank article Reinhard Ellwanger
Oil price forecasts help central banks assess risks to inflation and economic activity. Forecasters often rely on the latest price of oil, on futures markets or on economic models. The best approach depends on how far ahead forecasters are looking and whether they need only a forecast or also an explanation of what’s behind it.
Content Type(s): Staff research, Sparks at Bank article Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting

Cost Pass-Through with Capacity Constraints and International Linkages

Staff working paper 2023-16 Reinhard Ellwanger, Hinnerk Gnutzmann, Piotr Śpiewanowski
How are regional cost shocks passed through into global prices? We investigate the role of short-run capacity constraints and show that they can induce stark non-linearities in the pass-through. We highlight this effect for the market for ammonia, a commodity produced largely from natural gas.
Content Type(s): Staff research, Staff working papers JEL Code(s): L, L1, L13, L6, L65, Q, Q4, Q40, Q5, Q54 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Structural challenges, Climate change, International trade, finance and competitiveness

Are Temporary Oil Supply Shocks Real?

Staff working paper 2022-52 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger
Hurricanes disrupt oil production in the Gulf of Mexico because producers shut in oil platforms to safeguard lives and prevent damage. We examine the effects of these temporary oil supply shocks on real economic activity in the United States.
Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E32, Q, Q3, Q31, Q4, Q41, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness

Weather the Storms? Hurricanes, Technology and Oil Production

Staff working paper 2022-36 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger, Matthew Krutkiewicz
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, Q, Q4, Q40, Q48, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change

The New Benchmark for Forecasts of the Real Price of Crude Oil

Staff working paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden
How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C5, C53, Q, Q4, Q47 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting

The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News

Staff working paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Monetary policy, Inflation dynamics and pressures

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Bank publications

Bank of Canada Review articles

November 16, 2017

Factors Behind the 2014 Oil Price Decline

Bank of Canada Review - Autumn 2017 Reinhard Ellwanger, Benjamin Sawatzky, Konrad Zmitrowicz
Oil prices have declined sharply over the past three years. While both supply and demand factors played a role in the large oil price decline of 2014, global supply growth seems to have been the predominant force. The most important drivers were likely the surprising growth of US shale oil production, the output decisions of the Organization of the Petro-leum Exporting Countries and the weaker-than-expected global growth that followed the 2009 global financial crisis.
Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): Q, Q4, Q41, Q43

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Journal publications