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Effects of the 2008 financial crisis on the linkages among the oil, gold, and platinum markets
Aruga, Kentaka; Kannan, Sudha - In: Cogent economics & finance 8 (2020) 1, pp. 1-13
To find out if gold remains to be unlinked with the crude oil market after the 2008 financial crisis, we investigated … how long-run price linkages and price causalities among crude oil and gold markets changed before and after the crisis. To … found little evidence that gold began to have a price linkage with the crude oil market after the 2008 financial crisis …
Persistent link: https://www.econbiz.de/10013179529
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Sentiment in Oil Markets
Deeney, Peter - 2014
Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002-2013. This is demonstrated while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity. Sentiment indices are...
Persistent link: https://www.econbiz.de/10013062953
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10012822493
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Interpreting the Oil Risk Premium : Do Oil Price Shocks Matter?
Valenti, Daniele - 2018
This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It offers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....
Persistent link: https://www.econbiz.de/10012924431
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Identifying oil supply news shocks and their effects on the global oil market
Thomas, Arthur; Moussa, Zakaria - 2021
This paper uses a new empirical strategy to identify oil supply news shocks within a Non-Causal VAR model of standard global oil market variables. These shocks explain most of the movements in oil production over a long but finite time horizon. Our findings highlight the prominent role of...
Persistent link: https://www.econbiz.de/10013215283
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Much ado about nothing? : the shale oil revolution and the global supply curve
Foroni, Claudia; Stracca, Livio - 2019
We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la Stackelberg. We find that the supply...
Persistent link: https://www.econbiz.de/10012059007
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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801
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The effects of two benchmarks on Russian crude oil prices
Sahin, Goktug; Dogan, Nukhet; Berument, Hakan - In: Economic change & restructuring 56 (2023) 2, pp. 733-748
Persistent link: https://www.econbiz.de/10014252306
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10014048765