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Moody oil : what is driving the crude oil price?
Lechthaler, Filippo; Leinert, Lisa - 2012
The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...
Persistent link: https://www.econbiz.de/10009658018
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The impacts of oil price shocks on stock market volatility : evidence from the G7 countries
Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …
Persistent link: https://www.econbiz.de/10011438638
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How does stock market volatility react to oil shocks?
Bastianin, Andrea; Manera, Matteo - 2014
We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …
Persistent link: https://www.econbiz.de/10010476423
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Oil volatility and the option value of waiting : an analysis of the G-7
Bredin, Donal; Elder, John; Fountas, Stilianos - 2010
There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...
Persistent link: https://www.econbiz.de/10008810161
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The macroeconomic effects of oil price fluctuations in ASEAN countries : analysis using a VAR with block exogeneity
Vu Tuan Khai; Nakata, Hayato - 2014
Persistent link: https://www.econbiz.de/10011334267
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The impact of oil price shocks on the stock market return and volatility relationship
Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - 2014
Persistent link: https://www.econbiz.de/10011341968
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Oil price elasticities and oil price fluctuations
Caldara, Dario; Cavallo, Michele; Iacoviello, Matteo - 2016
We study the identification of oil shocks in a structural vector autoregressive (SVAR) model of the oil market. First, we show that the cross-equation restrictions of a SVAR impose a nonlinear relation between the short-run price elasticities of oil supply and oil demand. This relation implies...
Persistent link: https://www.econbiz.de/10011563138
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Oil price volatility and the role of speculation
Beidas-Strom, Samya; Pescatori, Andrea - 2014
Persistent link: https://www.econbiz.de/10010479429
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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Risk modeling with option-implied correlations and score-driven dynamics
Piña, Marco; Herrera, Rodrigo - 2021
Persistent link: https://www.econbiz.de/10013279402