Christiane Baumeister
Biographic Data
| ID | 1471171 |
|---|---|
| NAME | Christiane Baumeister |
| GIVEN NAMES | Christiane |
| FAMILY NAME | Baumeister |
| SIGNATURE | BAUMEISTER C |
| AFFILIATIONS | Bank of Canada |
| ORCID | 0000-0003-3715-7119 |
| VERIFIED | Yes |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 3 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Forecasting Natural Gas Prices in Real Time
This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be achieved in real time for horizons of up to 2 years. A particularly promising model is a vector autoregressive …
Tracking Weekly State-Level Economic Conditions
This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We find considerable cross-state heterogeneity in the length, depth, and timing of business cycles. We illustrate the usefulness of these state-level indices for quantifying the main contrib…
Energy Markets and Global Economic Conditions
We evaluate alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources, we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy dem…
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historica…
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
It has been 40 years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged. Drawing on this literature, we first provide an overview of the causes of all major oil price fluctuations between 1973 and 2014. We then discuss why oil pri…
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
The U.S. Energy Information Administration (EIA) regularly publishes monthly and quarterly forecasts of the price of crude oil for horizons up to 2 years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify. An alternative is the use of real-time econometric oil price forecasting models. We investigate the merits of constructing combinatio…
Real-Time Forecasts of the Real Price of Oil
We construct a monthly real-time dataset 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…
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
It has been 40 years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged. Drawing on this literature, we first provide an overview of the causes of all major oil price fluctuations between 1973 and 2014. We then discuss why oil pri…
Real-Time Forecasts of the Real Price of Oil
We construct a monthly real-time dataset 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…
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
The U.S. Energy Information Administration (EIA) regularly publishes monthly and quarterly forecasts of the price of crude oil for horizons up to 2 years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify. An alternative is the use of real-time econometric oil price forecasting models. We investigate the merits of constructing combinatio…
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
It has been 40 years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged. Drawing on this literature, we first provide an overview of the causes of all major oil price fluctuations between 1973 and 2014. We then discuss why oil pri…
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historica…
Energy Markets and Global Economic Conditions
We evaluate alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources, we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy dem…
Tracking Weekly State-Level Economic Conditions
This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We find considerable cross-state heterogeneity in the length, depth, and timing of business cycles. We illustrate the usefulness of these state-level indices for quantifying the main contrib…
Forecasting Natural Gas Prices in Real Time
This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be achieved in real time for horizons of up to 2 years. A particularly promising model is a vector autoregressive …
Market Dynamics and Volatility (7 works) · Economics (6 works) · Energy, Environment, and Transportation Policies (5 works) · Computer Science (4 works) · Econometrics (4 works) · Macroeconomics (4 works) · Monetary Policy and Economic Impact (4 works) · Oil price (4 works) · Global Energy and Sustainability Research (3 works) · Monetary economics (3 works)