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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
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 …
Persistent link: https://www.econbiz.de/10013065379
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
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 …
Persistent link: https://www.econbiz.de/10013065408
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
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 …
Persistent link: https://www.econbiz.de/10013065487
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Macroeconomic uncertainty and the impact of oil shocks
Van Robays, Ine - 2012
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
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Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression
Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...
Persistent link: https://www.econbiz.de/10011561029
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Does Oil Market Volatility Earn OPEC a Risk Premium?
Vatter, Marc H. - 2018
. Either way, OPEC is in a strong position to collect a risk premium from volatility in the market for crude oil. This may …
Persistent link: https://www.econbiz.de/10012930523
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Nonlinear Intermediary Pricing in the Oil Futures Market
Bierbaumer, Daniel - 2018
vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high …
Persistent link: https://www.econbiz.de/10012926240
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …
Persistent link: https://www.econbiz.de/10011790776
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Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries
Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26
, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March …
Persistent link: https://www.econbiz.de/10012418406
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Carbon credits and crude oil : an investigation of the price returns interaction in the international market
Salles, André Assis de; Lima, Renato Barros - In: Naše gospodarstvo : NG 70 (2024) 1, pp. 1-12
long-term interaction between these variables. The volatility models show a significant association between the …
Persistent link: https://www.econbiz.de/10014529944