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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647
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Interpreting the oil risk premium : do oil price shocks matter?
Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018
This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....
Persistent link: https://www.econbiz.de/10011794500
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The impacts of exogenous oil supply shocks on Mediterranean economies
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2015
The security of energy supply is a key geopolitical factor in the relationship between the European Union and the … economies to exogenous oil supply shocks. We focus on the effects on economic activity - as measured by real Gross Value Added …
Persistent link: https://www.econbiz.de/10011438640
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price …
Persistent link: https://www.econbiz.de/10013254444
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Global oil price swings : has their effect on Malta changed over time?
Ruisi, Germano - 2023
This paper develops a two-block Structural Vector Autoregression featuring time-varying parameters and stochastic volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from January 2008 to March 2022. The model is estimated by...
Persistent link: https://www.econbiz.de/10014380679
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Land competitiveness and leakage concerns and border carbon adjustments
Zhang, ZhongXiang - 2012
level the carbon playing field and could have potential conflicts with World Trade Organization (WTO) provisions and … Adjustments ; Grandfathering ; Output-Based Allocation ; World Trade Organization …
Persistent link: https://www.econbiz.de/10009634265
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Macroeconomic and financial effects of oil price shocks : evidence for the Euro area
Morana, Claudio - 2016
The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...
Persistent link: https://www.econbiz.de/10011451685
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The oil price-macroeconomy relationship since the mid-1980s : a global perspective
Morana, Claudio - 2012 - This draft April, 17, 2012
since the first Persian Gulf War episode. Among oil market shocks, supply side disturbances were the largest contributor to … volatility shocks would have also contributed to exacerbate the recessionary episodes. As long as oil supply will keep expanding …
Persistent link: https://www.econbiz.de/10009535971
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Trade in commodities and business cycle volatility
Kohn, David; Leibovici, Fernando; Tretvoll, Hakon - 2018
This paper studies the role of differences in the patterns of production and international trade on the business cycle volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade commodities and manufactures. We estimate the model...
Persistent link: https://www.econbiz.de/10011911446
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World shocks, world prices, and business cycles : an empirical investigation
Fernández, Andrés; Schmitt-Grohé, Stephanie; Uribe, … - 2017
SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small … multiple commodity prices transmit world disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate … that world shocks explain on average 33 percent of output fluctuations in individual economies. This figure doubles when …
Persistent link: https://www.econbiz.de/10011673250