In economic and statistics, various indicators are used to measure the volumeof national production. The most important of these is gross domestic product (GDP).GDP is expressed by monetary unit of the final products and services produced in theeconomy. Here should be taken into account the fact...

Despite being a consumable commodity with price intuitively fluctuating based on marginal supply and demand, this paper proves that the price of oil is driven by a yield measure combining the TIPS yield and an expected inflation derivative

The global oil market has experienced a steady decline in oil production volatility and a concurrent increase in the volatility of real oil prices since the mid-1980s. To study the underlying causes of the diverging volatility dynamics, we estimate a generalized time varying SVAR model that...

In this study, we introduce a novel framework of partial connectedness measures with which we investigate contagion dynamics between different types of oil price shocks and exchange rates. On general principles, oil price shocks are persistent net transmitters of shocks within the network....

This paper comprehensively investigates the connection between oil futures volatility and the financial market based on a data-rich and model-rich environment, which contains traditional prediction models, machine learning models, and combination models. The results highlight the efficiency of...

This study examines the nexus between oil prices, economic policy uncertainty and stock markets in a panel of selected major oil importing countries between June 2014 and October 2020. We analyzed China, India, Germany, Italy and Japan in the study because these countries are among the largest...

This study investigates the impacts of crude oil-market-specific fundamental factors and financial indicators on the realized volatility of West Texas Intermediate (WTI) crude oil price. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is applied to...

This paper aims to investigate the predictability of crude oil futures prices using a data-heavy approach with traditional macroeconomic and financial variables as well as new predictors. To do so, we adopt diverse combination approaches of bivariate regressions. A particular emphasis of the...

We evaluate the economic usefulness of oil price forecasts by means of conditional forecasting of five US macroeconomic indicators. First, we forecast oil prices using a mixed sampling frequency framework, where oil prices are driven by information available at high-frequency; and subsequently...

This study examines the effect of oil price uncertainty (OPU) on corporate innovation productivity. Using firm-level innovation data of US firms, we find that an increase in OPU causes a reduction in future innovation outcomes, proxied by the number of patents and subsequent citations. This...