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    Predicting gasoline prices using Michigan survey data

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    Date
    2015-07
    Author
    Baghestani, Hamid
    Advisor(s)
    Unknown advisor
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    Abstract
    This study investigates the predictive power of Michigan Surveys of Consumers (MSC) data for gasoline prices. Specifically, we utilize the MSC data on both expected inflation and consumer sentiment to construct a vector autoregressive (VAR) model for forecasting gasoline prices for 2003-2014. Our findings indicate that the VAR forecasts are superior to the comparable benchmark forecasts obtained from a univariate integrated moving average (MA) model in terms of both predictive information content and directional accuracy. As such, we conclude that the MSC data on both expected inflation and consumer sentiment have significant predictive information for gasoline prices. Further inspection reveals that the VAR forecasts are particularly accurate for the period since 2008, reinforcing the notion that consumers are "economically" rational.
    DSpace URI
    http://hdl.handle.net/11073/8169
    External URI
    http://www.sciencedirect.com/science/article/pii/S0140988315001383
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