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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 dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow☆
TL;DR: In this article, the authors examined the impact of the current oil prices fall on Europe and found that European stock markets are negatively and significantly affected by the crude oil shock. And they showed that the most exposed stock market is the French one, and the least affected market was the Austrian one.
Journal ArticleDOI
Business cycles and hydrocarbon gas liquids prices
Sayeeda Jahan,Apostolos Serletis +1 more
TL;DR: The authors examined the basic stylized facts of HGL prices using monthly data for the United States, over the period from 1985:1 to 2018:1, and found that Hgl prices are procyclical and mostly lead the cycle of industrial production.
Posted Content
Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies
TL;DR: In this paper, the macroeconomic impact of oil shocks in four of the largest oil consuming Asian economies was analyzed using a structural vector autoregressive model, and three types of sign restrictions were identified: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock.
Dissertation
An econometric investigation of forecasting GDP, oil prices, and relationships among GDP and energy sources
TL;DR: In this paper, the authors used simple regression and factor-based estimates to forecast Bahrain's quarterly GDP growth, and compared the performance of both approaches using simulated out-of-sample experiments.
Journal ArticleDOI
Oil Price and Economic Resilience. Romania’s Case
TL;DR: In this paper, the authors examined the impact of the oil price changes on industrial production in Romania and found that, similar to other countries, in Romania, the growth rate of industrial production responds more strongly to a rise in oil prices.
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.
Journal ArticleDOI
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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