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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Kilian, Lutz - 2012

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive … relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

Persistent link: https://www.econbiz.de/10013100207

Speculation in the Oil Market

Juvenal, Luciana - 2012

The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...

Persistent link: https://www.econbiz.de/10013107787

Disentangling Demand and Supply Shocks in the Crude Oil Market : How to Check Sign Restrictions in Structural VARs

Luetkepohl, Helmut - 2012

Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting...

Persistent link: https://www.econbiz.de/10013109191

Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation

Manera, Matteo - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

Persistent link: https://www.econbiz.de/10013081164

Returns in Commodities Futures Markets and Financial Speculation : A Multivariate GARCH Approach

Manera, Matteo - 2013

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Persistent link: https://www.econbiz.de/10013091156

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...

Persistent link: https://www.econbiz.de/10013066427

The Impacts of Oil Price Shocks on Stock Market Volatility : Evidence from the G7 Countries

Bastianin, Andrea - 2016

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....

Persistent link: https://www.econbiz.de/10013001030

Structural Interpretation of Vecor Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane - 2018

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

Persistent link: https://www.econbiz.de/10012926556

Responsiveness of Electricity Generation Towards Price Level : An Empirical Investigation from Pakistan

Najmi, Hafiq Saqib - 2016

The purpose of this study is to explore the effect of Electricity Generation on Price level of Pakistan's Economy during period from 1981 to 2013. ARDL estimation technique is followed for reliable long run and short run estimates of the model. For elasticities of Price level, all variables are...

Persistent link: https://www.econbiz.de/10013001674

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10013158882