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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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Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors
Jinghua Wang,Geoffrey Ngene +1 more
TL;DR: In this paper, the authors investigated the causal dynamics of the U.S. sector price changes and oil price changes using the symmetric non-linear and asymmetric nonlinear causality tests.
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The Influence of Oil Price Shocks on China's Macroeconomy: A Perspective of International Trade
TL;DR: Wang et al. as discussed by the authors investigated the relationship between China's macro-economy and oil price from a new perspective and found strong evidence to suggest that the increase of China's price level, resulting from oil price shocks, is statistically less than that of its main trade partners.
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International Monetary Policy Spillovers
TL;DR: In this paper, the authors explore spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom.
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The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach
TL;DR: In this article, the effect of oil price uncertainty shock on real Gross Domestic Product (GDP) of 33 developed and emerging economies using the Global Vector Autoregressive (VAR) fram...
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Oil price volatility and real options: 35 years of evidence
TL;DR: This article examined the response of disaggregated measures of production to volatility in oil prices and found that increased oil price volatility has strong negative effects on the production of durable goods such as transportation equipment, and oil exploration, such as the drilling of oil and gas wells.
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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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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