Discrete Dynamics in Nature and Society

Research Article

Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models

Table 1

Variable definitions.


Category	Label	Definition	Unit	Data source

Crude oil price	WTI	WTI spot price	Dollars per barrel	Energy Information Administration (EIA)
Crude oil price	Brent	Europe Brent spot price	Dollars per barrel
Crude oil supply	OS_World	Crude oil production, world	Thousand barrels per day
Crude oil demand	OD_cons	Total petroleum consumption	Thousand barrels per day
Crude oil stocks	OD_stocks	Total petroleum stocks	Million barrels
Gold price	P_gold	Gold fixing price	US dollars per troy ounce	Federal Reserve Bank of St. Louis
Exchange rate	US_ex	Trade weighted US dollar index: broad, goods, index	Percentage
Stock market price index	S&P500	S&P500 index	Percentage
Natural gas price	P_gas	Henry Hub Natural Gas Spot Price	Dollars per million btu	Energy Information Administration (EIA)
Market sentiment	VIX	VIX index	Percentage	Federal Reserve Bank of St. Louis
Macroeconomy affecting factors	IP_total	Industrial production: total index		Federal Reserve Bank of St. Louis
Macroeconomy affecting factors	Kilian	Kilian index		Kilian’s website
Political change	EPU	Global policy uncertainty	Percentage	Economic policy uncertainty website
Political change	Google	Google trend index	Percentage of popularity	Google trends

All the variables are calculated by the first log difference in order to make them stationary, except for the Kilian index, which is naturally stationary series. Neither measures of these variables are seasonally adjusted.