We investigate whether crude oil price volatility is predictable by conditioning on macroeconomic variables. We consider a large number of predictors, take into account the possibility that relative predictive performance varies over the out‐of‐sample period, and shed light on the economic drivers of crude oil price volatility. Results using monthly data from 1983:M1 to 2018:M12 document that variables related to crude oil production, economic uncertainty and variables that either describe the current stance or provide information about the future state of the economy forecast crude oil price volatility at the population level 1 month ahead. On the other hand, evidence of finite‐sample predictability is very weak. A detailed examination of our out‐of‐sample results using the fluctuation test suggests that this is because relative predictive performance changes drastically over the out‐of‐sample period. The predictive power associated with the more successful macroeconomic variables concentrates around the Great Recession until 2015. They also generate the strongest signal of a decrease in the price of crude oil towards the end of 2008.

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使用宏观经济变量详细了解原油价格波动预测

我们通过以宏观经济变量为条件来研究原油价格波动是否可预测。我们考虑了大量预测变量，考虑到相对预测性能在样本外期间发生变化的可能性，并阐明原油价格波动的经济驱动因素。使用 1983:M1 至 2018:M12 的月度数据的结果表明，与原油生产、经济不确定性相关的变量以及描述当前立场或提供有关未来经济状况信息的变量预测人口水平的原油价格波动提前1个月。另一方面，有限样本可预测性的证据非常薄弱。使用波动测试对我们的样本外结果进行详细检查表明，这是因为相对预测性能在样本外期间发生了巨大变化。与更成功的宏观经济变量相关的预测能力集中在 2015 年之前的大衰退。它们还产生了原油价格在 2008 年底前下跌的最强信号。