Reinhard Ellwanger - Latest

• The New Benchmark for Forecasts of the Real Price of Crude Oil

  Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden

  How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47

• The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News

  Staff Working Paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin

  We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Recent economic and financial developments JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43