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Daily Archives: August 4, 2011

Bank of Canada: Real-Time Forecasts of the Real Price of Oil

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Real-Time Forecasts of the Real Price of Oil Working Paper 2011-16, Christiane Baumeister, Lutz Kilian, August 2011

  • “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. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques to fill gaps in the real-time data. We show that real-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases real-time MSPE reductions may be as high as 25 percent one month ahead and 24 percent three months ahead. This result is in striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR) forecasts based on global oil market variables tend to have lower MSPE at short horizons than forecasts based on oil futures prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently higher directional accuracy. We demonstrate how with additional identifying assumptions such VAR models may be used not only to understand historical fluctuations in the real price of oil, but to construct conditional forecasts that reflect hypothetical scenarios about future demand and supply conditions in the market for crude oil. These tools are designed to allow forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative assumptions.”

    • European Securites and Market Authority published list of registered and certified credit rating agencies

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    04 Aug. 2011 – “According to the Credit Rating Agencies Regulation ((EC) No 1060/2009), ESMA publishes today the list of those credit rating agencies that as of today were either registered or certified in the European Union. The credit rating agencies listed here have been registered or certified in accordance with Regulation (EC) No 1060/2009… Continue Reading

    BLS: Payroll employment rises 117,000 in July; unemployment rate changes little

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    Employment Situation Summary, July 2011: “Total nonfarm payroll employment rose by 117,000 in July, and the unemployment rate was little changed at 9.1 percent, the U.S. Bureau of Labor Statistics reported today. Job gains occurred in health care, retail trade, manufacturing, and mining. Government employment continued to trend down. Household Survey Data: The number of… Continue Reading

    Audit of SEC’s Employee Recognition Program and Recruitment, Relocation, and Retention Incentives

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    Audit of SEC’s Employee Recognition Program and Recruitment, Relocation, and Retention Incentives, Office of Inspector General, August 2, 2011 “…we found that the SEC’s budgeting processes for awards and incentives for SK2 employees are flawed and ineffective. The SEC’s overall award budget for SK (SEC pay level used in lieu of GS) staff and average… Continue Reading

    Asians in America Report: Asian-Americans Still Feel Like Outsiders in Corporate America

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    News release: “Despite graduating from top universities at rates that far exceed their peers and forming an important part of the talent pipeline for many professions, Asian-Americans remain largely underrepresented in leadership ranks, according to Asians in America: Unleashing the Potential of the ‘Model Minority,’ a new study from the Center for Work-Life Policy. Although… Continue Reading

    MF: Taxing Financial Transactions: An Assessment of Administrative Feasibility

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    Taxing Financial Transactions: An Assessment of Administrative Feasibility. John D. Brondolo, August 01, 2011 “This paper considers how a tax on financial transactions could be applied to three broad and partially overlapping categories of financial instruments: (1) exchange-traded instruments; (2) over-the-counter instruments; and, (3) foreign exchange instruments. For each category, the paper examines the factors… Continue Reading

    White House Report – Empowering Local Partners to Prevent Violent Extremism

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    Empowering Local Partners to Prevent Violent Extremism, August 3, 2011 “Our central goal in this effort is to prevent violent extremists and their supporters from inspiring, radicalizing, financing, or recruiting individuals or groups in the United States to commit acts of violence. The U.S. Government will work tirelessly to counter support for violent extremism and… Continue Reading