Narrow search
Showing 1 - 10 of 652
Cover Image
Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10012822493
Cover Image
Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?
Kilian, Lutz - 2019
We study the efficacy of releases from the U.S. Strategic Petroleum Reserve (SPR) within the context of fully specified …
Persistent link: https://www.econbiz.de/10012865918
Cover Image
Oil Price Fluctuations and Exchange Rate Dynamics in the MENA Region : Evidence from Non-Causality-in-Variance and Asymmetric Non-Causality Tests
Nouira, Ridha - 2018
dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …
Persistent link: https://www.econbiz.de/10012908723
Cover Image
Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012844423
Cover Image
Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
Cover Image
Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
Cover Image
The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
Cover Image
Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012892101
Cover Image
Facts and Fiction in Oil Market Modeling
Kilian, Lutz - 2019
Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its...
Persistent link: https://www.econbiz.de/10012860298
Cover Image
The Interplay between Oil and Food Commodity Prices : Has it Changed Over Time?
Peersman, Gert - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply--resulting from bad...
Persistent link: https://www.econbiz.de/10012861447