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The movements in oil prices are very complex and, therefore, seem to be unpredictable. However, one of the main challenges facing econometric models is to forecast such seemingly unpredictable economic series. Traditional linear structural models have not been promising when used for oil price...
Persistent link: https://www.econbiz.de/10013094285
Using the aggregate number of oil rigs as a proxy of oil investment, I evaluate the bidirectional relationship between oil prices and oil investment in OPEC and Non-OPEC countries. We take advantage of Bayesian estimation techniques and innovation accounting to incorporate the long run dynamics...
Persistent link: https://www.econbiz.de/10012720960
Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …
Persistent link: https://www.econbiz.de/10012805901
Persistent link: https://www.econbiz.de/10015072381
While autonomous central banks in large open economies are usually predisposed to use monetary rules to target inflation, output, and long-term interest rates, central banks in small open economies face peculiar challenges in their attempts to attain and maintain liquidity, stable prices and...
Persistent link: https://www.econbiz.de/10012288324
The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration …
Persistent link: https://www.econbiz.de/10014466537
Knowledge about rig markets is crucial for understanding the global oil market. In this paper we first develop a simple bargaining model for rig markets. Then we examine empirically the most important drivers for rig rate formation of floaters operating at the Norwegian Continental Shelf in the...
Persistent link: https://www.econbiz.de/10011968602
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...
Persistent link: https://www.econbiz.de/10012661575
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...
Persistent link: https://www.econbiz.de/10011083435
In this paper we introduce a non-parametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic distributions are available in closed form. This makes the method computationally efficient and capable of handling information...
Persistent link: https://www.econbiz.de/10012949026