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Estimating the effects of global oil market shocks on Australian merchandise trade

Sotoudeh, M-Ali; Worthington, Andrew Charles - In: Economic analysis and policy : EAP ; journal of the … 50 (2016), pp. 74-84

Persistent link: https://www.econbiz.de/10011485448

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we … find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term …

Persistent link: https://www.econbiz.de/10009578570

On the long-run neutrality of demand shocks

Chen, Wenjuan; Netsunajev, Aleksei - 2015

Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use structural VAR models with smoothly changing covariances for identification...

Persistent link: https://www.econbiz.de/10011349551

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

The Chinese oil futures volatility : evidence from high-low estimator information

Huang, Xiaozhou; Wang, Yubao; Song, Juan - In: Finance research letters 56 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014473684

The econometrics of oil market VAR models

Kilian, Lutz; Zhou, Xiaoqing - 2020

Persistent link: https://www.econbiz.de/10012213247

The econometrics of oil market VAR Models

Kilian, Lutz; Zhou, Xiaoqing - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012174841

The importance of supply and demand for oil prices : evidence from non-Gaussianity

Braun, Robin - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1163-1198

When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound...

Persistent link: https://www.econbiz.de/10014496492

The econometrics of oil market VAR models

Kilian, Lutz; Zhou, Xiaoqing - In: Essays in honor of Joon Y. Park : econometric …, (pp. 65-95). 2023

Persistent link: https://www.econbiz.de/10014315146

The oil price volatility and a revisited Saudi import demand function : an empirical analysis

Algaeed, Abdulaziz Hamad - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 6, pp. 59-69

Persistent link: https://www.econbiz.de/10011954077