Oil prices do not follow random walk: Bank of Canada paper

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A Bank of Canada paper published in June addresses several challenges in forecasting oil prices and finds evidence that rejects claims that the nominal and real price of oil follow a random walk.

Ron Alquist, Lutz Kilian and Robert Vigfusson, the paper's authors, provide a benchmark based on data that include the recent collapse of the price of oil in 2008 to discuss problems in forecasting oil prices and examine whether the price of oil is inherently unpredictable, as is sometimes claimed.

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