We develop two- and three-state regime switching models and test their forecasting ability for oil prices. We use the deviations of market oil price from fundamental values as the main explanatory variable in our models, while additional potential predictors enrich our specification. Our...

This study investigates the relationship between crude oil price and petrol price as well as their behaviour using daily U.S. price series in the period from January 11th 1988 to May 20th 2011. We find that univariate GARCH(1,1) is likely the most suitable model to measure the volatility of...

What part of the high oil price can be explained by structural transformation in the developing world? Will continued structural transformation in these countries result in a permanently higher oil price? To address these issues I identify an inverted-U shaped relationship in the data between...

This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without...

Based on the structural VAR model of the global crude oil market proposed by Kilian(2009), this article investigates the causes for wild fluctuations in oil prices since the mid-2000s. A main contribution of the study is to compare the effects of changes in oil price on three major economies,...

We estimate three different models of speculative behaviour using oil price data. Our findings provide support for the claim by Phillips and Yu (2011) and Gilbert (2010) that a bubble in oil prices existed for a short period in 2008.

This paper assesses the relationship among oil prices, real output growth and employment in Turkey over the period 2000:1-2012:4 by using vector error correction methodology. Empirical findings indicate a long-run relationship among the variables. Besides, short-run causality results based on...

Aguiar-Conraria and Wen (2008) argued that dependence on foreign oil raises the likelihood of equilibrium indeterminacy (economic instability) for oil importing countries. We argue that this relation is more subtle. The endogenous choices of prices and quantities by a cartel of oil exporters,...

This paper studies the joint dynamics of oil prices and interest in electric cars, measured as the volume of Google searches for related phrases. The dominant view in the literature is that the main determinants of oil prices are macroeconomic conditions and supply disruptions. I show evidence...

This paper tests the induced innovation hypothesis that higher oil prices will lead to increased innovation in energy-efficient automotive technology. We find robust empirical support for the hypothesis, while using various measures of oil and gas prices and controlling for other factors...