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
Lower Oil Prices and the U.S. Economy: Is This Time Different?
TL;DR: This article explored the effect of the sharp and sustained decline after June 2014 in the global price of crude oil (and hence in the U.S. price of gasoline) on real GDP growth.
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Do oil prices predict economic growth? New global evidence
TL;DR: The authors used predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity, to test whether oil price predicts economic growth for 28 developed and 17 developing countries.
Journal ArticleDOI
The asymmetric effects of oil price shocks
TL;DR: In this article, the authors investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a general bivariate framework in which a vector autoregression is modified to accommodate GARCH-inMean errors.
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Macroeconomic impacts of oil price shocks in Asian economies
TL;DR: In this article, the macroeconomic impact of structural oil shocks in four of the top oil consuming Asian economies, using a VAR model, was analyzed, and the main results suggest that economic activity and prices respond very differently to oil price shocks depending on their types.
Journal ArticleDOI
Oil price uncertainty in Canada
John Elder,Apostolos Serletis +1 more
TL;DR: This article investigated the effects of oil price uncertainty in Canada and found that uncertainty about energy prices may induce optimizing firms to postpone investment decisions, thereby leading to a decline in aggregate output, which may explain why the sharp oil price declines of 1985 failed to produce rapid output growth.
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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