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油价能否帮助预测美国实际 GDP？非线性与非对称性的作用AI 解读

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter-ahead U.S. real GDP is nonlinear in that (a) oil price increases matter only to the extent that they exceed the maximum oil price in recent years, and that (b) oil price decreases do not matter at all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to…

美国经济对能源价格上涨与下跌的反应是否不对称？AI 解读

How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autoregressive models suggest a substantial decline in real GDP in response to unexpected increases in the real price of oil, yet no response to unexpected declines. We show that these estimates are invalid. Based on a structural model that encompasses both symmetric and asymmetric models as special cases, correctly computed…