کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063991 1476708 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Predicting the oil prices: Do technical indicators help?
ترجمه فارسی عنوان
پیش بینی قیمت نفت: آیا شاخص های فنی کمک می کنند؟
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی


- Technical indicators display significant and robust out-of-sample predictive power.
- The predictive power of technical indicators outperforms the well-known macroeconomic variables.
- The strength of the predictive evidence is robust during recessions and expansions.
- Technical indicators detect the typical decline in the oil returns near business-cycle peaks effectively.
- Information stemmed in technical indicators reveals sizable utility gains for investors.
- The predictive power of technical indicators stems in part from its ability to predict changes in sentiment.

This paper aims to investigate the predictability of technical indicators to directly forecast oil prices and compare their performances with macroeconomic variables. We find that technical indicators do exhibit statistically and economically significant in-sample and out-of-sample forecasting power under OLS regressions and forecast combinations, clearly exceeding that of well-known macroeconomic variables and state-of-the-art oil-macro forecasting variables. Moreover, the strength of the predictive evidence is substantial during recessions and expansions and can detect the typical decline in the oil returns near business-cycle peaks effectively. Furthermore, technical indicators reveal substantial economic value for investors, in terms of superior oil risk premium forecasts and sizable utility gains. The technical indicators' ability to predict the oil price stems in part from its ability to predict changes in sentiment, suggesting the financialization of oil markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 56, May 2016, Pages 338-350
نویسندگان
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