Forecasting the Price of Oil

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? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?Econometric and statistical methods; International topics

Uncovering predictability in the evolution of the WTI oil futures curve

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil futures. Our approach boasts a number of theoretical and practical advantages including effectively exploiting underlying process dynamics missed by classical discrete approaches. We evaluate the finite-sample performance against established benchmarks using a model confidence set test. A realistic out-of-sample exercise provides strong support for the adoption of our approach with it residing in the superior set of models in all considered instances.Comment: 28 pages, 4 figures, to appear in European Financial Managemen

Life is uncertain, eat dessert first: Uncertainty causes uncontrolled and unemotional eaters to consume more sweets

Sometimes even dieters with the best self-control overindulge. Uncertain situations may undermine the self-control of even well-controlled eaters. This study was designed to test the hypothesis that uncertainty increases unhealthy snacking. Participants were either told that they would be giving a speech, that they would be listening to a speech, or that they would find out later whether they were to give a speech or not. Among participants who typically reported good control over their eating or scored low on emotional eating, participants who were uncertain about whether they would be giving a speech ate more candy than participants who expected to not have to give a speech and even those who expected to have to give a speech. Participants who reported poor control over their eating or scored high on emotional eating did not eat significantly more when uncertain. These findings suggest that, for people who are typically able to control their eating, uncertainty increases snacking more than certainty of a negative outcome

A multicentred study to validate a consensus bleeding assessment tool developed by the biomedical excellence for safer transfusion collaborative for use in patients with haematological malignancy

Background There continues to be uncertainty about the optimal approach to documenting bleeding data in platelet transfusion trials, with a desire to apply a common assessment tool across all trials. With this in mind, a consensus bleeding assessment tool (BAT) has been developed by the Biomedical Excellence for Safer Transfusion (BEST) collaborative, based on review of data collection forms used in published randomized trials and following content validation with a range of healthcare professionals at seven haematology centres through BEST members. This study aimed to evaluate reliability and reproducibility of the consensus BAT. Methods Replicated clinical assessments of bleeding were undertaken by participants with haematological malignancies recruited at four haematology centres in an international, multicentred, observational study. Concordance of repeat assessments was calculated for agreement in site and grade of bleeding observed. Results Forty patients consented to participate, and 13 trained bleeding assessors collected these data. Bleeding assessments were carried out on 113 separate days. Of all 225 bleeding assessments, 204 were compared for grade concordance, and 160 were compared for site concordance. There was very good grade concordance (83%, 95% confidence interval 74–93%) and good bleeding site concordance (69%, 95% confidence interval 57–79%) in observations of bleeding. Discordance was primarily in relation to assessing skin bleeding. Conclusions Alongside a structured training programme, levels of concordance for a consensus BAT were high. Researchers using assessment tools for bleeding need to balance comprehensive data collection against potential loss of accuracy for some types of bleeding, such as skin findings

The dynamics of commodity return comovements

We compare factor models with respect to their ability to explain commodity futures return comovements. A simple one-factor model based on the first principal component extracted from a panel of commodity returns outperforms a macroeconomic model, and explains most of the realized comovements. We find that intersectoral correlations display more time variations than intrasectoral correlations. Dissecting the evidence further, we find that comovements are driven by the variation of the factor as opposed to exposure to it. Our results cast doubt on the persistence of the effects of financialization and emphasize the importance of the dynamics of the factor variance