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


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.


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account