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Oil Price Uncertainty
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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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The impact of exchange rate uncertainty on exports in South Africa
TL;DR: The authors examined the impact of real effective exchange rate uncertainty (REER) on aggregate exports of South Africa for the period 1986Q4-2013Q2 using a bivariate framework where the structural vector autoregression (VAR) is modified to accommodate bivariate GARCH-in-mean (GARCH-M) errors.
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The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters
TL;DR: In this paper, the authors investigated the dynamic nexus between oil price and its volatility for oil spot and futures markets by means of stochastic volatility in the mean model with time-varying parameters in the conditional mean.
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Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method
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Investigating the effect of climate uncertainty on global commodity markets
TL;DR: In this paper, the effect of climate uncertainty on global commodity markets was investigated by modifying Mumtaz and Theodoridis's (2018) time-varying factor-augmented VAR (FAVAR) with stochastic volatility in mean model.
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Management of Oil Revenues: Has That of Azerbaijan Been Prudent?
TL;DR: In this article, the authors apply the ARDL cointegration method to estimate the long run relationships linking oil prices to government investment expenditures and further to generation of non-oil GDP in Azerbaijan.
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.
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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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