Narrow search
Showing 1 - 10 of 2,520
Cover Image
A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10011434566
Cover Image
Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …
Persistent link: https://www.econbiz.de/10003965099
Cover Image
Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172
Cover Image
Oil market efficiency, quantity of information, and oil market turbulence
Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024
This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...
Persistent link: https://www.econbiz.de/10014490913
Cover Image
Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …
Persistent link: https://www.econbiz.de/10012599014
Cover Image
Measuring market expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012622575
Cover Image
Macroeconomic uncertainty and the impact of oil shocks
Van Robays, Ine - 2012
demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times. -- oil …
Persistent link: https://www.econbiz.de/10009621702
Cover Image
Forty years of oil price fluctuations : why the price of oil may still surprise us
Baumeister, Christiane; Kilian, Lutz - 2016
It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
Persistent link: https://www.econbiz.de/10011431626
Cover Image
Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …
Persistent link: https://www.econbiz.de/10012035050
Cover Image
Explosive oil prices
Gronwald, Marc - 2013
This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...
Persistent link: https://www.econbiz.de/10009786017