期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：This paper documents the existence of a signi cant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manu- facturing. This result is robust to the speci cation of the estimating equation and to the considered business cycle indicator. An out-of- the-sample prediction exercise reveals that futures adjusted to take into account this time-varying component produce signi cantly better forecasts than those of unadjusted futures, of futures adjusted for the average forecast error and of the random walk, particularly at horizons of more than 6 months.
