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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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Dissertation
The international linkages of Nigeria as an oil-dependent economy : macroeconometric analysis
TL;DR: In this article, the authors present a general introduction to the study of the Nigerian economy and its relationship with Nigeria's economy, and present an organization of the Thesis and Organization of Thesis.
Journal ArticleDOI
What Matters When Developing Oil Price Volatility Forecasting Frameworks
TL;DR: In this article, the main factors that oil price volatility forecasters should take before constructing their forecasting models are examined and evaluated for both realized and implied volatility measures, based on statistical loss functions, as well as their economic use.
Journal Article
Understanding Stock Market Fluctuations: Evidence from Sudan
TL;DR: In this paper, the authors investigated the responses of the Sudanese stock market to fluctuations in exchange rate, inflation and crude oil price, and concluded that the fluctuations of KSE index are greatly attributed to oil shocks and exchange rate fluctuations.
Proceedings ArticleDOI
Evaluation carrying capacity of the upstream oil and gas industry in Indonesia using the artificial neural network method
TL;DR: In this article, the authors used the Artificial Neural Network (ANN) to extract patterns and detect trends that are too complex to be noticed either by humans or other computer engineering and the result is a model that can see the carrying capacity of oil and gas exploration and exploitation activities in Indonesia consisting of petroleum reserves, petroleum production rates and investment.
Journal ArticleDOI
The Influence of Oil Price Uncertainty on Economic Activities in Nigeria
Samson Ogege,Tarila Boloupremo +1 more
TL;DR: In this paper, the uncertainty of oil price influence on the activities of Nigerian economy with regard to human development in Nigeria was evaluated by using the least square technique of data analysis to assess the association between the observed variables.
References
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Journal ArticleDOI
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.
Journal ArticleDOI
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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