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Investigation of cointegration of oil prices and Russian market indices
Alexeev, Alexander Gennadievich - Department of Economics, European University at St. … - 2010
We perform an econometric analysis of cointegration of the Brent oil price and general and industrial indices of the …. It is interesting to note that a cointegration between the oil price and industrial RTS index is not detected. A … cointegration between the oil price and the general indices is found both for the RTS and the MICEX, and in both cases it is …
Persistent link: https://www.econbiz.de/10008794572
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Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models
Aivazian, Sergey; Brodsky, Boris; Sandoyan, Edward; … - In: Applied Econometrics 30 (2013) 2, pp. 3-25
sectors of the economy, and at the 2nd stage the econometric model of the national economy is created based upon cointegration …
Persistent link: https://www.econbiz.de/10010992083
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Long memory in an oil market: a spectral approach
Balagula, Yury; Abakumova, Yulia - Department of Economics, European University at St. … - 2011
In the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis. (in Russian)
Persistent link: https://www.econbiz.de/10008788736
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Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia
Aivazian, Sergey Arutyunovich; Brodsky, Brodsky , Boris; … - In: Applied Econometrics 31 (2013) 3, pp. 7-31
Russia and Armenia: GDP, inflation, export and import, the average wage, etc. The choice of predictors of these models is … of cointegration analysis proposed by Engle and Granger (1987). At the first stage we build long-run cointegration …
Persistent link: https://www.econbiz.de/10010841005
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Review of approaches to oil price modeling
Raskina, Yulia - Department of Economics, European University at St. … - 2010
A huge size of an oil market and its relation to economic growth and global wealth distribution make the oil an unique commodity. Oil price prediction is associated with plans of development of states as well as firms. Jumps in oil prices influence world economy similarly to natural disasters of...
Persistent link: https://www.econbiz.de/10008794575
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Long-run Identification in a Fractionally Integrated System
Tschernig, Rolf; Weber, Enzo; Weigand, Roland - Wirtschaftswissenschaftliche Fakultät, Universität … - 2010
-lasting influence on GDP. …
Persistent link: https://www.econbiz.de/10008673438
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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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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/10011753232
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Moody Oil - What is Driving the Crude Oil Price?
Lechthaler, Filippo - 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/10013099330
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Oil and the Macroeconomy : A Quantitative Structural Analysis
Lippi, Francesco - 2009
persistent effect on GDP …
Persistent link: https://www.econbiz.de/10013160261