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On the impact of oil prices on sectoral inflation : evidence from world's top oil exporters and importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014454468
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How do oil prices affect the GDP and its components? : new evidence from a time-varying threshold model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014527191
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An application of models of speculative behaviour to oil prices
Shi, Shu-ping; Arora, Vipin - 2011
price data reasonably well; and (ii) Both models show that the probabilities of being in a bubble collapsing state and a … bubble expansion state spike in late-2008/early-2009. This provides some support for the claim by Phillips and Yu (2010) and … Gilbert (2010) that a bubble in oil prices existed for short period in 2008 …
Persistent link: https://www.econbiz.de/10009153468
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How Do Oil Prices Affect the GDP and Its Components? New Evidence from a Time-Varying Threshold Model
Salem, Leila Ben; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014567593
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On the Impact of Oil Prices on Sectoral Inflation: Evidence from World's Top Oil Exporters and Importers
Salem, Leila Ben; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014469577
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Downside Uncertainty Shocks in the Oil and Gold Markets
Roh, Tai-Yong - 2020
We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...
Persistent link: https://www.econbiz.de/10012839629
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Forecasting Energy Commodity Prices : A Large Global Dataset Sparse Approach
Ferrari, Davide - 2020
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012844415
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Forecasting Energy Commodity Prices : A Large Global Dataset Sparse Approach
Ferrari, Davide - 2019
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012857769
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Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning'
Kim, Byung-June; Kim, Taeyoon; Jang, Bong-Gyu - 2021
The Internet Appendix consists of three sections. Section A shows data sources and detailed data processing procedures. In Section B, we outline seven forecasting models. Last, Section C represents the empirical results
Persistent link: https://www.econbiz.de/10013241114
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Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning
Kim, Byung-June; Kim, Taeyoon; Jang, Bong-Gyu - 2021
This paper explores the possibility of the potential usage of machine learning models in the field of realized volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional heterogeneous autoregressive (HAR) model is widely...
Persistent link: https://www.econbiz.de/10013241115