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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
Persistent link: https://www.econbiz.de/10012221159
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
Persistent link: https://www.econbiz.de/10012660819
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Energy Markets and Global Economic Conditions
Baumeister, Christiane - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012834350
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
. In this paper we focus on forecasting tail risks in the oil market by setting up a general empirical framework that …
Persistent link: https://www.econbiz.de/10014544801
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A fear index to predict oil futures returns
Chevallier, Julien; Sévi, Benoît - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010189497
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What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?
Berger, Tino; Richter, Julia - 2017
According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...
Persistent link: https://www.econbiz.de/10011584095
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The forecasting power of EPU for crude oil return volatility
Ma, Rufei; Zhou, Changfeng; Cai, Huan; Deng, Chengtao - In: Energy reports 5 (2019), pp. 866-873
paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas … China EPU index has the best forecasting performance in the past one year. Our findings have important implications on risk …
Persistent link: https://www.econbiz.de/10012040309
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The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil
Cross, Jamie - 2020
Contemporary structural models of the global market for crude oil treat storage demand as a composite of precautionary responses to uncertainty and speculative behavior, due to difficulties in jointly identifying these distinct demand components. This difficulty arises because the underlying...
Persistent link: https://www.econbiz.de/10012836428
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Refining the workhorse oil market model
Zhou, Xiaoqing - 2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336