Research
Working papers
Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil? (2023), w/ Aniss Benmoussa and Stephen Snudden.
Are temporary oil supply shocks real? (2022), w/ Johan Brannlund and Geoffrey Dunbar. [BoC Working Paper version]
Cost pass-through in commodity markets with capacity constraints and international linkages (2023), w/ Hinnerk Gnutzmann and Piotr Śpiewanowski. Revise & resubmit at Journal of Applied Econometrics. [BoC Working Paper version]
Seize the last day: Period-end-price sampling for forecasts of temporally aggregated data (2022), w/ Stephen Snudden. Revisions requested at International Journal of Forecasting.
Publications
A simple model of global fuel consumption w/ Doga Bilgin. Energy Economics, 2024. [Working Paper]
Wheather the storms? Resilience investment and production losses after hurricanes w/ Johan Brannlund, Geoffrey Dunbar, and Matthew Krutkiewicz. Journal of Environmental Economics and Management, 2023. [Working Paper]
Forecasts of the real price of oil revisited: Do they beat the random walk? w/ Stephen Snudden. Journal of Banking & Finance, 2023.
Futures prices are useful predictors of the spot price of crude oil w/ Stephen Snudden. The Energy Journal, 2023.
The effect of oil price shocks on asset markets: Evidence from oil inventory news w/ Ron Alquist and Jianjian Jin. Journal of Futures Markets, 2020. [Working Paper]
Inactive papers
The new benchmark for forecasts of the real price of crude oil (2020), w/ Aniss Benmoussa and Stephen Snudden.
The new papers Forecasts of the real price of oil revisited: Do they beat the random walk? and Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil? supersede any results contained in this working paper.
Did the renewable fuel standard shift market expectations of the price of ethanol? (2017), w/ Christiane Baumeister and Lutz Kilian.
Selected policy publications
A structural model of the global oil market (2019), Bank of Canada Staff Analytical Note.
A dynamic factor model for commodity prices (2017), w/ Doga Bilgin. Bank of Canada Staff Analytical Note.
Factors behind the 2014 oil price decline (2017), w/ Benjamin Sawatzky and Konrad Zmitrowicz. Bank of Canada Review Article.
Low for longer? Why the global oil market in 2014 is not like 1986 (2016) w/ Bahattin Büyükşahin, Kun Mo and Konrad Zmitrowicz. Bank of Canada Staff Analytical Note.