An analysis of the global oil market using SVARMA models
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2019.104633
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Mala Raghavan, 2019. "An analysis of the global oil market using SVARMA models," CAMA Working Papers 2019-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Raghavan, Mala, 2019. "An analysis of the global oil market using SVARMA models," Working Papers 2019-01, University of Tasmania, Tasmanian School of Business and Economics.
References listed on IDEAS
- Ratti, Ronald A. & Vespignani, Joaquin L., 2013.
"Crude oil prices and liquidity, the BRIC and G3 countries,"
Energy Economics, Elsevier, vol. 39(C), pages 28-38.
- Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices and Liquidity, the BRIC and G3 countries," MPRA Paper 44049, University Library of Munich, Germany.
- Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices and Liquidity, the BRIC and G3 countries," Working Papers 15727, University of Tasmania, Tasmanian School of Business and Economics, revised 17 Dec 2012.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016.
"Canadian monetary policy analysis using a structural VARMA model,"
Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 347-373, February.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016. "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 347-373, February.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
- Raghavan, Mala & Athanasopoulos, George & Silvapulle, Param, 2014. "Canadian monetary policy analysis using a structural VARMA model," Working Papers 2014-06, University of Tasmania, Tasmanian School of Business and Economics, revised 2014.
- Ing-Haw Cheng & Wei Xiong, 2014.
"Financialization of Commodity Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
- Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
- D'Ecclesia, Rita L. & Magrini, Emiliano & Montalbano, Pierluigi & Triulzi, Umberto, 2014. "Understanding recent oil price dynamics: A novel empirical approach," Energy Economics, Elsevier, vol. 46(S1), pages 11-17.
- Kilian, Lutz, 2019.
"Measuring global real economic activity: Do recent critiques hold up to scrutiny?,"
Economics Letters, Elsevier, vol. 178(C), pages 106-110.
- ,, 2019. "Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?," CEPR Discussion Papers 13455, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2019. "Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?," CESifo Working Paper Series 7461, CESifo.
- James D. Hamilton, 2009.
"Causes and Consequences of the Oil Shock of 2007-08,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 215-283.
- James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2010. "Causes and consequences of the oil shock of 2007–08," FRB Atlanta CQER Working Paper 2009-02, Federal Reserve Bank of Atlanta.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Kapetanios, G. & Pagan, A. & Scott, A., 2007.
"Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling,"
Journal of Econometrics, Elsevier, vol. 136(2), pages 565-594, February.
- G. Kapetanios & A. Pagan & A. Scott, 2005. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling," CAMA Working Papers 2005-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
- Mohaddes, Kamiar & Pesaran, M. Hashem, 2017.
"Oil prices and the global economy: Is it different this time around?,"
Energy Economics, Elsevier, vol. 65(C), pages 315-325.
- Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil Prices and the Global Economy: Is It Different This Time Around?," Working Papers 1052, Economic Research Forum, revised 10 2016.
- Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil Prices and the Global Economy: Is It Different This Time Around?," Cambridge Working Papers in Economics 1640, Faculty of Economics, University of Cambridge.
- Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil Prices and the Global Economy: Is it Different this Time Around?," CESifo Working Paper Series 5992, CESifo.
- Mr. Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil Prices and the Global Economy: Is It Different This Time Around?," IMF Working Papers 2016/210, International Monetary Fund.
- Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil prices and the global economy: Is it different this time around?," CAMA Working Papers 2016-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil prices and the global economy: is it different this time around?," Globalization Institute Working Papers 277, Federal Reserve Bank of Dallas.
- Christiane Baumeister & Gert Peersman, 2013.
"The Role Of Time‐Varying Price Elasticities In Accounting For Volatility Changes In The Crude Oil Market,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1087-1109, November.
- Christiane Baumeister & Gert Peersman, 2011. "The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market," Staff Working Papers 11-28, Bank of Canada.
- Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
- Christiane Baumeister & Lutz Kilian, 2016.
"Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us,"
Journal of Economic Perspectives, American Economic Association, vol. 30(1), pages 139-160, Winter.
- Baumeister, Christiane & Kilian, Lutz, 2015. "Forty years of oil price fluctuations: Why the price of oil may still surprise us," CFS Working Paper Series 525, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," CESifo Working Paper Series 5709, CESifo.
- Kilian, Lutz & Baumeister, Christiane, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," CEPR Discussion Papers 11035, C.E.P.R. Discussion Papers.
- Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jadidzadeh, Ali & Serletis, Apostolos, 2017.
"How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?,"
Energy Economics, Elsevier, vol. 63(C), pages 66-74.
- Ali Jadidzadeh & Apostolos Serletis, "undated". "How Does the U.S. Natural Gas Market React to Demand and Supply Shocks in the Crude Oil Market?," Working Papers 2017-02, Department of Economics, University of Calgary.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012.
"Oil prices, exchange rates and emerging stock markets,"
Energy Economics, Elsevier, vol. 34(1), pages 227-240.
- Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2010. "Oil Prices, Exchange Rates and Emerging Stock Markets," Working Papers 1014, University of Otago, Department of Economics, revised Sep 2010.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
- Kilian, Lutz & Zhou, Xiaoqing, 2018.
"Modeling fluctuations in the global demand for commodities,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 54-78.
- Kilian, Lutz & Zhou, Xiaoqing, 2017. "Modeling Fluctuations in the Global Demand for Commodities," CEPR Discussion Papers 12357, C.E.P.R. Discussion Papers.
- Lutz Kilian & Xiaoqing Zhou, 2017. "Modeling Fluctuations in the Global Demand for Commodities," CESifo Working Paper Series 6749, CESifo.
- R. Glenn Hubbard, 1986. "Supply Shocks and Price Adjustment in the World Oil Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(1), pages 85-102.
- Dvir, Eyal & Rogoff, Kenneth, 2014. "Demand effects and speculation in oil markets: Theory and evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 113-128.
- Peersman, Gert & Van Robays, Ine, 2012.
"Cross-country differences in the effects of oil shocks,"
Energy Economics, Elsevier, vol. 34(5), pages 1532-1547.
- G. Peersman & I. Van Robays & -, 2009. "Cross-Country Differences in the Effects of Oil Shocks," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/629, Ghent University, Faculty of Economics and Business Administration.
- Gert Peersman & Ine Van Robays, 2010. "Cross-Country Differences in the Effects of Oil Shocks," CESifo Working Paper Series 3306, CESifo.
- Bataa, Erdenebat & Izzeldin, Marwan & Osborn, Denise R., 2016.
"Changes in the global oil market,"
Energy Economics, Elsevier, vol. 56(C), pages 161-176.
- Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
- Gert Peersman & Ine van Robays, 2009.
"Oil and the Euro area economy [Labour market implications of EU product market integration],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 24(60), pages 603-651.
- G. Peersman & I. Van Robays, 2009. "Oil and the Euro Area Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/582, Ghent University, Faculty of Economics and Business Administration.
- Lutz Kilian & Daniel P. Murphy, 2012.
"Why Agnostic Sign Restrictions Are Not Enough: Understanding The Dynamics Of Oil Market Var Models,"
Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1166-1188, October.
- Kilian, Lutz & Murphy, Daniel, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2009.
"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,"
American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
- Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers.
- George Athanasopoulos & Farshid Vahid, 2008.
"A complete VARMA modelling methodology based on scalar components,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 533-554, May.
- George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics.
- Ratti, Ronald A & Vespignani, Joaquin L., 2012.
"Why are crude oil prices high when global activity is weak?,"
MPRA Paper
43777, University Library of Munich, Germany.
- Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Why crude oil prices are high when global activity is weak?," Working Papers 2013-01, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Mar 2013.
- Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2015.
"Macroeconomic Effects of Precautionary Demand for Oil,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 968-986, September.
- Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2013. "Macroeconomic effects of precautionary demand for oil," Temi di discussione (Economic working papers) 918, Bank of Italy, Economic Research and International Relations Area.
- Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
- Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
- Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
- Raghavan, Mala & Athanasopoulos, George, 2019.
"Analysis of shock transmissions to a small open emerging economy using a SVARMA model,"
Economic Modelling, Elsevier, vol. 77(C), pages 187-203.
- Raghavan, Mala & Athanasopoulos, George, 2018. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Working Papers 2018-02, University of Tasmania, Tasmanian School of Business and Economics.
- Hamilton, James D & Herrera, Ana Maria, 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 265-286, April.
- Athanasopoulos, George & Vahid, Farshid, 2008.
"VARMA versus VAR for Macroeconomic Forecasting,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 237-252, April.
- George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics.
- Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
- Helmut Lütkepohl & Aleksei NetŠunajev, 2014.
"Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
- Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2013.
"Why are crude oil prices high when global activity is weak?,"
Economics Letters, Elsevier, vol. 121(1), pages 133-136.
- Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Why are crude oil prices high when global activity is weak?," MPRA Paper 43777, University Library of Munich, Germany.
- Lutz Kilian & Bruce Hicks, 2013.
"Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 385-394, August.
- Kilian, Lutz & Hicks, Bruce, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers 7265, C.E.P.R. Discussion Papers.
- James D. Hamilton, 2019. "Measuring Global Economic Activity," NBER Working Papers 25778, National Bureau of Economic Research, Inc.
- Lutz Kilian & Daniel P. Murphy, 2014.
"The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, April.
- Kilian, Lutz & Murphy, Daniel, 2010. "The Role of Inventories and Speculative Trading in the Global Market for Crude Oil," CEPR Discussion Papers 7753, C.E.P.R. Discussion Papers.
- Wu, Gang & Zhang, Yue-Jun, 2014. "Does China factor matter? An econometric analysis of international crude oil prices," Energy Policy, Elsevier, vol. 72(C), pages 78-86.
- Xiaoyi Mu & Haichun Ye, 2011. "Understanding the Crude Oil Price: How Important Is the China Factor?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 69-92.
- Naoyuki Yoshino & Farhad Taghizadeh-Hesary, 2014. "Monetary policy and oil price fluctuations following the subprime mortgage crisis," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 7(3), pages 157-174.
- Adair Turner & Jon Farrimond & Jonathan Hill, 2011. "The oil trading markets, 2003--10: analysis of market behaviour and possible policy responses," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 27(1), pages 33-67, Spring.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Al Jabri, Salwa & Raghavan, Mala & Vespignani, Joaquin, 2022.
"Oil prices and fiscal policy in an oil-exporter country: Empirical evidence from Oman,"
Energy Economics, Elsevier, vol. 111(C).
- Salwa Aljabri & Mala Raghavan & Joaquin Vespignan, 2021. "Oil prices and fiscal policy in an oil-exporter country: Empirical evidence from Oman," CAMA Working Papers 2021-87, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Aljabri, Salwa & Raghavan, Mala & Vespignani, Joaquin, 2021. "Oil Prices and Fiscal Policy in an Oil-exporter country: Empirical Evidence from Oman," MPRA Paper 110628, University Library of Munich, Germany.
- Aljabri, Salwa & Raghavan, Mala & Vespignani, Joaquin, 2021. "Oil prices and fiscal policy in an oil-exporter country: empirical evidence from Oman," Working Papers 2021-04, University of Tasmania, Tasmanian School of Business and Economics.
- Basel Maraqa & Murad Bein, 2020. "Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil," Sustainability, MDPI, vol. 12(9), pages 1-14, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
- Lorusso, Marco & Pieroni, Luca, 2018.
"Causes and consequences of oil price shocks on the UK economy,"
Economic Modelling, Elsevier, vol. 72(C), pages 223-236.
- Marco Lorusso & Luca Pieroni, 2015. "Causes and Consequences of Oil Price Shocks on the UK Economy," CEERP Working Paper Series 002, Centre for Energy Economics Research and Policy, Heriot-Watt University, revised Nov 2015.
- Lutz Kilian & Xiaoqing Zhou, 2023.
"The Econometrics of Oil Market VAR Models,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 65-95,
Emerald Group Publishing Limited.
- Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," Working Papers 2006, Federal Reserve Bank of Dallas.
- Kilian, Lutz & Zhou, Xiaoqing, 2020. "The Econometrics of Oil Market VAR Models," CEPR Discussion Papers 14460, C.E.P.R. Discussion Papers.
- Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," CESifo Working Paper Series 8153, CESifo.
- Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
- Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
- Christiane Baumeister & Gert Peersman, 2013.
"Time-Varying Effects of Oil Supply Shocks on the US Economy,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
- C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration.
- Christiane Baumeister & Gert Peersman, 2012. "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy," Staff Working Papers 12-2, Bank of Canada.
- Gert Peersman & Christiane Baumeister, 2009. "Time-Varying Effects of Oil Supply Shocks on the US Economy," 2009 Meeting Papers 171, Society for Economic Dynamics.
- Bataa, Erdenebat & Izzeldin, Marwan & Osborn, Denise R., 2016.
"Changes in the global oil market,"
Energy Economics, Elsevier, vol. 56(C), pages 161-176.
- Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
- Benk, Szilard & Gillman, Max, 2023.
"Identifying money and inflation expectation shocks to real oil prices,"
Energy Economics, Elsevier, vol. 126(C).
- Benk, Szilárd & Gillman, Max, 2023. "Identifying money and inflation expectation shocks on real oil prices," Bank of Finland Research Discussion Papers 10/2023, Bank of Finland.
- Jiménez-Rodríguez, Rebeca, 2022. "Oil shocks and global economy," Energy Economics, Elsevier, vol. 115(C).
- Raghavan, Mala, 2015. "The macroeconomic effects of oil price shocks on ASEAN-5 economies," Working Papers 2015-10, University of Tasmania, Tasmanian School of Business and Economics.
- Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
- Yin, Libo & Zhou, Yimin, 2016.
"What drives long-term oil market volatility? Fundamentals versus speculation,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-26.
- Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus Speculation," Economics Discussion Papers 2016-2, Kiel Institute for the World Economy (IfW Kiel).
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Francesco Ravazzolo & Joaquin Vespignani, 2020.
"World steel production: A new monthly indicator of global real economic activity,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 743-766, May.
- Francesco Ravazzolo & Joaquin Vespignani, 2017. "World steel production: A new monthly indicator of global real economic activity," CAMA Working Papers 2017-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ravazzolo, Francesco & Vespignani, Joaquin, 2017. "World steel production: A new monthly indicator of global real economic activity," Working Papers 2017-08, University of Tasmania, Tasmanian School of Business and Economics.
- Lomonosov, Daniil & Polbin, Andrey & Fokin, Nikita, 2020. "Влияние Шоков Мировой Деловой Активности, Предложения Нефти И Спекулятивных Нефтяных Шоков На Экономику Рф [The impact of global economic activity, oil supply and speculative oil shocks on the Russ," MPRA Paper 106019, University Library of Munich, Germany.
- Ewing, Bradley T. & Kang, Wensheng & Ratti, Ronald A., 2018. "The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies," Energy Economics, Elsevier, vol. 72(C), pages 505-516.
- Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2015.
"What Drives Oil Prices? Emerging Versus Developed Economies,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1013-1028, November.
- Knut Are Aastveit & Hilde C. Bj�rnland & Leif Anders Thorsrud, 2012. "What drives oil prices? Emerging versus developed economies," Working Papers No 2/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Hilde C. Bjornland, 2013. "What drives oil prices? Emerging versus developed economies," CAMA Working Papers 2013-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2012. "What drives oil prices? Emerging versus developed economies," Working Paper 2012/11, Norges Bank.
- Gong, Xu & Chen, Liqiang & Lin, Boqiang, 2020. "Analyzing dynamic impacts of different oil shocks on oil price," Energy, Elsevier, vol. 198(C).
- Kilian, Lutz & Zhou, Xiaoqing, 2022.
"Oil prices, exchange rates and interest rates,"
Journal of International Money and Finance, Elsevier, vol. 126(C).
- Lutz Kilian & Xiaoqing Zhou, 2019. "Oil prices, exchange rates, and interest rates," 2019 Meeting Papers 592, Society for Economic Dynamics.
- Kilian, Lutz & Zhou, Xiaoqing, 2020. "Oil prices, exchange rates and interest rates," CFS Working Paper Series 646, Center for Financial Studies (CFS).
- Lutz Kilian & Zhou Xiaoqing, 2019. "Oil Prices, Exchange Rates and Interest Rates," CESifo Working Paper Series 7484, CESifo.
- Lutz Kilian & Xiaoqing Zhou, 2019. "Oil Prices, Exchange Rates and Interest Rates," Working Papers 1914, Federal Reserve Bank of Dallas.
- Kilian, Lutz & Zhou, Xiaoqing, 2019. "Oil Prices, Exchange Rates and Interest Rates," CEPR Discussion Papers 13478, C.E.P.R. Discussion Papers.
More about this item
Keywords
VARMA models; Oil price shocks; Global oil market; Forecasting;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:86:y:2020:i:c:s014098831930430x. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.