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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
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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10012871648
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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
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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
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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
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Heterogeneity in the Pass-Through from Oil to Gasoline Prices : A New Instrument for Estimating the Price Elasticity of Gasoline Demand
Kilian, Lutz; Zhou, Xiaoqing - 2023
We propose a new instrument for estimating the price elasticity of gasoline demand that exploits systematic differences across U.S. states in the pass-through of oil price shocks to retail gasoline prices. We show that these differences are primarily driven by the cost of producing and...
Persistent link: https://www.econbiz.de/10014358334
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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
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The Usual Suspects : Does Risk Tolerance, Altruism, and Health Predict the Response to Covid-19?
Sheth, Ketki - 2020
Using a registered pre-analysis plan, we survey college students during California’s Stay-at-Home order to test whether compliance with social distancing requirements depends on key parameters that affect their marginal benefit from doing so. We find a quarter of students violated the...
Persistent link: https://www.econbiz.de/10012834356
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Tracking and Predicting the German Economy : Ifo vs. Pmi
Lehmann, Robert - 2020
This analysis investigates the predictive power of the most important leading indicators for the German economy, which are provided by the ifo Institute and IHS Markit. We conduct an out-of-sample, real-time forecast experiment for growth of gross domestic product and growth of gross value added...
Persistent link: https://www.econbiz.de/10012839771
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Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters
Heinrich, Markus - 2020
by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF …
Persistent link: https://www.econbiz.de/10012842676