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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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Forecasting crude oil market volatility: A Markov switching multifractal volatility approach
Yudong Wang,Chongfeng Wu,Li Yang +2 more
TL;DR: This paper used a Markov switching multifractal (MSM) volatility model to forecast crude oil return volatility and found that the model captures stylized facts of multiscaling, long memory, and structural breaks in volatility, after allowing for hundreds of regimes in the volatility.
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Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model
TL;DR: This paper used a bivariate GARCH-in-mean VAR model to examine the effect of oil price uncertainty on the U.S. real stock returns at the aggregate and sectoral levels.
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Role of oil price shocks on macroeconomic activities : an SVAR approach to the Malaysian economy and monetary responses
TL;DR: In this article, the authors examined the impact of oil price uncertainty on Malaysian macroeconomic activities and monetary responses using a structural VAR (SVAR) model based on monthly data over the period 1986−2009.
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The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach
TL;DR: In this paper, the authors investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12.
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Forecasting realized oil-price volatility : the role of financial stress and asymmetric loss
TL;DR: In this article, the role of global and regional measures of financial stress in forecasting realized volatility of the oil market based on 5-min intraday data covering the period of 4th January, 2000 until 26th May, 2017 was analyzed.
References
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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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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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