Christiane Baumeister - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:42:16+00:00Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
https://www.bankofcanada.ca/2017/11/staff-working-paper-2017-50/
The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks.2017-11-23T11:32:45+00:00enIs the Discretionary Income Effect of Oil Price Shocks a Hoax?2017-11-23Econometric and statistical methodsInternational topicsStaff Working Paper 2017-50https://www.bankofcanada.ca/wp-content/uploads/2017/11/swp2017-50.pdfIs the Discretionary Income Effect of Oil Price Shocks a Hoax?Christiane BaumeisterLutz KilianXiaoqing ZhouNovember 2017CC5C51QQ4Q43Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-35/
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.2017-09-11T08:14:33+00:00enDid the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?2017-09-11Econometric and statistical methodsFinancial marketsRecent economic and financial developmentsStaff Working Paper 2017-35https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-35.pdfDid the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?Christiane BaumeisterReinhard EllwangerLutz KilianSeptember 2017QQ1Q18Q2Q28Q4Q42Q5Q58A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-18/
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.2016-04-18T09:53:37+00:00enA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil2016-04-18Econometric and statistical methodsInternational topicsStaff Working Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-18.pdfA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude OilChristiane BaumeisterLutz KilianApril 2016CC5C53DD8D84GG1G14QQ4Q43Are There Gains from Pooling Real-Time Oil Price Forecasts?
https://www.bankofcanada.ca/2014/10/working-paper-2014-46/
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.2014-10-24T13:07:37+00:00enAre There Gains from Pooling Real-Time Oil Price Forecasts?2014-10-24Econometric and statistical methodsInternational topicsWorking Paper 2014-46https://www.bankofcanada.ca/wp-content/uploads/2014/10/wp2014-46.pdfAre There Gains from Pooling Real-Time Oil Price Forecasts?Christiane BaumeisterLutz KilianThomas K. LeeOctober 2014CC5C53QQ4Q43The Art and Science of Forecasting the Real Price of Oil
https://www.bankofcanada.ca/wp-content/uploads/2014/05/boc-review-spring14-baumeister.pdf
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.2014-05-13T09:49:55+00:00enThe Art and Science of Forecasting the Real Price of Oil2014-05-13Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
https://www.bankofcanada.ca/2014/03/working-paper-2014-11/
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.2014-03-25T14:22:48+00:00enDo High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work2014-03-25Econometric and statistical methodsInternational topicsWorking Paper 2014-11https://www.bankofcanada.ca/wp-content/uploads/2014/03/wp2014-11.pdfDo High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at WorkChristiane BaumeisterPierre GuérinLutz KilianMarch 2014CC5C53GG1G14QQ4Q43Do Oil Price Increases Cause Higher Food Prices?
https://www.bankofcanada.ca/2013/12/working-paper-2013-52/
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.2013-12-30T08:21:24+00:00enDo Oil Price Increases Cause Higher Food Prices?2013-12-30Inflation and pricesInternational topicsWorking Paper 2013-52https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-52.pdfDo Oil Price Increases Cause Higher Food Prices?Christiane BaumeisterLutz KilianDecember 2013EE3E31QQ1Q11Q4Q42Q43Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
https://www.bankofcanada.ca/2013/08/working-paper-2013-28/
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.2013-08-20T09:22:18+00:00enForecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach2013-08-20Econometric and statistical methodsInternational topicsWorking Paper 2013-28https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-28.pdfForecasting the Real Price of Oil in a Changing World: A Forecast Combination ApproachChristiane BaumeisterLutz KilianAugust 2013CC5C53EE3E32QQ4Q43Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
https://www.bankofcanada.ca/2013/08/working-paper-2013-25/
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.2013-08-15T12:06:08+00:00enAre Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis2013-08-15Econometric and statistical methodsInternational topicsWorking Paper 2013-25https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-25.pdfAre Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger HypothesisChristiane BaumeisterLutz KilianXiaoqing ZhouAugust 2013CC5C53GG1G15QQ4Q43What Central Bankers Need to Know about Forecasting Oil Prices
https://www.bankofcanada.ca/2013/05/working-paper-2013-15/
Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions.2013-05-29T12:50:11+00:00enWhat Central Bankers Need to Know about Forecasting Oil Prices2013-05-29Econometric and statistical methodsInternational topicsWorking Paper 2013-15https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-15.pdfWhat Central Bankers Need to Know about Forecasting Oil PricesChristiane BaumeisterLutz KilianMay 2013CC5C53EE3E32QQ4Q43