Open AccessPosted Content
Oil Price Uncertainty
TLDR
This article used multivariate volatility models to investigate the relationship between the price of oil and the level of economic activity, focusing on the role of uncertainty about oil prices, using a fully specified multivariate framework, based on both structural and reduced form VARs that are modified to accommodate GARCH-in-Mean errors.Abstract:
The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity. Contents: Introduction Univariate Volatility Models Multivariate Volatility Models Oil Price Uncertainty The Asymmetric Effects of Oil Price Shocks Evidence from Canada Readership: Scholars & industry professionals interested in the effects of oil pricing. Key Features: The book uses multivariate volatility models to investigate the relationship between the price of oil and the level of economic activity, focusing on the role of uncertainty about oil prices It uses a fully specified multivariate framework, based on both structural and reduced form VARs that are modified to accommodate GARCH-in-Mean errors It investigates the robustness of the results to i) alternative measures of the price of oil, ii) alternative measures of the level of economic activity, and iii) alternative data frequencies and model specificationsread more
Citations
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Journal ArticleDOI
Oil volatility risk
TL;DR: In this article, the option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures and a rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with a propagation channel through the oil sector.
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The importance of managerial ability on crude oil price uncertainty-firm performance relationship
TL;DR: This paper investigated the effect of crude oil price uncertainty on firm performance and how the managerial ability impacts on this relationship using a large sample of 13,610 U.S firms from 1983 to 2016.
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Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain
Walid Mensi,Walid Mensi,Mobeen Ur Rehman,Mobeen Ur Rehman,Debasish Maitra,Khamis Hamed Al-Yahyaee,Xuan Vinh Vo +6 more
TL;DR: In this article, the wavelet method was used to investigate co-movements between the five emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS), and the oil and natural gas markets.
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The predictive power of oil price shocks on realized volatility of oil: A note
TL;DR: This paper examines the predictive power of oil supply, demand and risk shocks over the realized volatility of intraday oil returns using the heterogeneous autoregressive realized volatility (HAR-RV) framework, and shows that all shock terms on their own, and particularly financial market driven risk shocks, significantly improve the forecasting performance of the benchmark HAR-V model, both in- and out-of-sample.
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The effects of the oil price and oil price volatility on inflation in Turkey
Nezir Köse,Emre Ünal +1 more
TL;DR: In this paper, the effects of the oil price and oil price volatility on inflation in Turkey were analyzed via a structural vector autoregression (SVAR) model, using monthly data covering the period between March 1988 and August 2019.
References
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Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
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Multivariate Simultaneous Generalized ARCH
TL;DR: In this paper, a new parameterization of the multivariate ARCH process is proposed and equivalence relations are discussed for the various ARCH parameterizations, and conditions suffcient to guarantee the positive deffniteness of the covariance matrices are developed.
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Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
Posted Content
Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Lutz Kilian,Lutz Kilian +1 more
TL;DR: In this paper, a structural decomposition of the real price of crude oil in four components is proposed: oil supply shocks driven by political events in OPEC countries; other oil supply shock; aggregate shocks to the demand for industrial commodities; and demand shocks that are specific to the crude oil market.
Journal ArticleDOI
Evaluating Natural Resource Investments
TL;DR: In this article, it is shown that continuous time arbitrage and stochastic control theory may be used not only to value such projects but also to determine the optimal policies for developing, managing, and abandoning them.
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