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Forecasting Accuracy of Crude Oil Futures Prices
Kumar, Manmohan S. - 1991
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared...
Persistent link: https://www.econbiz.de/10014395895
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Efficiency in Commodity Futures Markets
International Monetary Fund - 1989
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...
Persistent link: https://www.econbiz.de/10014395958
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The U.S. oil supply revolution and the global economy
Mohaddes, Kamiar; Raissi, Mehdi - 2015
This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...
Persistent link: https://www.econbiz.de/10011445835
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Transitory and permanent shocks in the global market for crude oil
Rebei, Nooman; Sbia, Rashid - 2020
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...
Persistent link: https://www.econbiz.de/10012251290
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573
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Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …
Persistent link: https://www.econbiz.de/10014395829
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Do commodity futures help forecast spot prices?
Reichsfeld, David A.; Roache, Shaun K. - 2011
Persistent link: https://www.econbiz.de/10009422245
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Do Commodity Futures Help Forecast Spot Prices?
Reichsfeld, David - 2011
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...
Persistent link: https://www.econbiz.de/10014397825
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How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock
Erbil, Nese - 2010
How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interest rates, which means that such shocks lead to an adjustment back towards a stable...
Persistent link: https://www.econbiz.de/10014397573