Modeling and Forecasting Effects of Crude Oil Price Changes on the US and UK GDP

نویسندگان

  • Hamid Abrishami Tehran
  • Hojatallah Ghanimi Fard the Petroleum University of Technology, Tehran
  • Mehdi Ahrari Tehran
  • Zahra Rahimi Tehran
چکیده

        This paper proposes a new forecasting model for investigating relationship between the price of crude oil, as an important energy source and GDP of the US, as the largest oil consumer, and the UK, as the oil producer. GMDH neural network and MLFF neural network approaches, which are both non-linear models, are employed to forecast GDP responses to the oil price changes. The results are compared with the results obtained by the ARIMA linear model. Using the annual data of these countries from 1952 to 2010, the empirical results indicate that the GMDH neural network using lagged GDP and oil prices yields the least error in forecasting for the US and the UK.       JEL Classification: C18, Q47   

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عنوان ژورنال:

دوره 37  شماره 2

صفحات  23- 42

تاریخ انتشار 2633-02-20

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