Real-Time Forecasts of the Real Price of Oil
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.
Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
2445
result(s)
The Role of Financial Speculation in Driving the Price of Crude Oil
Staff Discussion Paper 2011-6
Ron Alquist,
Olivier Gervais
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
International topics
JEL Code(s):
G,
G1,
G12,
Q,
Q4,
Q41
External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies
Staff Discussion Paper 2011-5
Olivier Gervais,
Lawrence L. Schembri,
Lena Suchanek
In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Development economics,
Exchange rate regimes,
International topics
JEL Code(s):
F,
F3,
F31,
F32,
F4,
F41
Lessons from International Central Counterparties: Benchmarking and Analysis
Staff Discussion Paper 2011-4
Alexandre Lazarow
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G0,
G01,
G1,
G14,
G18,
G2,
G28,
G3,
G38
Forecasting the Price of Oil
Staff Working Paper 2011-15
Ron Alquist,
Lutz Kilian,
Robert Vigfusson
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications?
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
Q,
Q4,
Q43,
Q47
Real-Financial Linkages in the Canadian Economy: An Input-Output Approach
Staff Working Paper 2011-14
Danny Leung,
Oana Secrieru
The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the Canadian economy for 2004.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Economic models,
Financial markets,
Sectoral balance sheet
JEL Code(s):
C,
C6,
C67,
D,
D5,
D57
May 19, 2011
Understanding and Measuring Liquidity Risk: A Selection of Recent Research
During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies