The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Our paper inspects empirically the asymmetric impact of daily oil price shocks on the quarterly real domestic product in eight countries during the period (1983-2016). We employ two methodologies OLS and AMIDAS. The OLS technique shows that the positive oil price shocks have a statistically...

This study explores the impact of oil sector on global competitiveness of the GCC states in a panel data framework for the period from 2006 to 2014. The focus is placed on how the non-traditional factors; oil rents, fuel exports as percentage of merchandise exports, oil prices, and mining sector...

We analyze the global relationship between oil prices, commodity-specific financial marketshocks and economic activity by means of Structural Vector Autoregressive (SVAR) models for the period 1996 - 2015. For the financial market variables in our model, we use a breakdown of G-20 countries into...

The price of oil has risen by about 60% since mid-2004 and by more than 40% since the beginning of 2005. Though the U.S. economy has apparently absorbed this supply shock well so far, the path of future oil prices remains a concern for monetary policymakers. Higher oil prices can damp demand, as...

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the...

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...