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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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Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data
TL;DR: This article analyzed time-varying causality between government bond and oil returns of the United States over the monthly period of 1859:10 to 2019:03, i.e., the longest possible span of historical data, starting from the beginning of the modern era of the petroleum industry.
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The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve
Oguzhan Cepni,Selcuk Gul,Muhammed Hasan Yilmaz,Muhammed Hasan Yilmaz,Brian M. Lucey,Brian M. Lucey,Brian M. Lucey +6 more
TL;DR: In this paper, the authors investigated the impact of oil price shocks on Turkish sovereign yield curve factors and found that a supply shock leads to a statistically significant increase in the level factor while unanticipated demand shocks have a positive impact on the slope factor as a result of the central bank policy response for offsetting the elevated inflation expectations.
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Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries
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Oil prices and the US effective exchange rate: A hidden cointegration analysis
TL;DR: In this article, the authors investigated the long-run relationship between the US Dollar effective exchange and the oil prices over the period from January 1986 to August 2014, using the hidden cointegration technique of Granger and Yoon (2002) and Schorderet (2004).
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On the pernicious effects of oil price uncertainty on US real economic activities
TL;DR: In this paper, the authors identify the influence of extreme oil shocks and changing oil price uncertainty dynamics associated with economic and political events on output growth and find that output growth responds symmetrically (asymmetrically) to positive and negative shocks in the period when oil price price uncertainty is lower (higher) and more persistent before (after) mid-1985.
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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