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Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Thiem, Christopher - 2017
volatility as well as the U.S. economy. We find that - even after accounting for these factors - oil price uncertainty still has … confirms these results. Finally, significant spillover effects in the GARCH model suggest that oil price volatility is a gauge …Dieser Beitrag untersucht den Einfluss von Ölpreisunsicherheit auf die Wirtschaftsaktivität der USA mit Hilfe eines VAR …
Persistent link: https://www.econbiz.de/10011608019
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How do Oil Shocks Transmit Through the US Economy? Evidence from a Large BVAR Model with Stochastic Volatility
Fry-McKibbin, Renee; Zhu, Beili - 2021
This paper employs a large BVAR model with common stochastic volatility to examine the effects of oil supply shocks … 2019Q2. Generalized impulse response functions calculated using stochastic volatility provide a time-varying account of the …
Persistent link: https://www.econbiz.de/10013249741
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10010412767
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2013
In the current literature uncertainty about the future course of the economy is identified as a possible driver of business cycle fluctuations. In fact, uncertainty surrounds the movements of all economic variables which gives rise to a monitoring problem. We identify the different dimensions of...
Persistent link: https://www.econbiz.de/10010188870
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Energy business cycles
Meenagh, David; Minford, Patrick; Oyekola, Olayinka - 2015
We find that, when estimated, a two sector computable dynamic stochastic general equilibrium open economy model of the U.S. that formally admits energy into the production process can generate plausible parameter values that can be applied to deal with a broad range of economic issues. As a...
Persistent link: https://www.econbiz.de/10011471623
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Oil and the Great Moderation
Nakov, Anton - 2008
We assess the extent to which the great US macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil share in GDP. To do this we estimate a DSGE model with an oil-producing sector before and after 1984 and perform counterfactual simulations. We nest...
Persistent link: https://www.econbiz.de/10012726162
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Is risk the fuel of the business cycle? : financial frictions and oil market disturbances
Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2024
I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...
Persistent link: https://www.econbiz.de/10014474905
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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach
Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014288917
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Asset value, interest rates and oil price volatility
Arora, Vipin - In: The economic record : er 87 (2011), pp. 45-55
Persistent link: https://www.econbiz.de/10009348683
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Asset value, interest rates and oil price volatility
Arora, Vipin - 2011
price volatility may be missing. …
Persistent link: https://www.econbiz.de/10009012742