Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate

摘要

The predictive power contained in crude oil price volatility with regards to forecasting the real U.S. GDP growth rate is evaluated. Contrary to models based on the price of crude oil, specifications employing crude oil price volatility tend to afford statistically significant improvements in terms of population level-predictability and finite-sample forecast accuracy relative to the benchmark at the one-quarter ahead horizon. (C) 2019 Elsevier B.V. All rights reserved.