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organization of the petroleum exporting countries

Känzig, Diego R. - In: American economic review 111 (2021) 4, pp. 1092-1125

Persistent link: https://www.econbiz.de/10012504975

Dynamic jump intensites and news arrival in oil futures markets

Ensor, Katherine Bennett; Han, Yu; Ostdiek, Barbara; … - In: The journal of asset management 21 (2020) 4, pp. 292-325

Persistent link: https://www.econbiz.de/10012292798

The informational content of inventory announcements : intraday evidence from crude oil futures market

Ye, Shiyu; Karali, Berna - In: Energy economics 59 (2016), pp. 349-364

Persistent link: https://www.econbiz.de/10011699677

How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Persistent link: https://www.econbiz.de/10011438674

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10011434566

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

Persistent link: https://www.econbiz.de/10010409922

Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups

Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192

between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set … the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and …. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return …

Persistent link: https://www.econbiz.de/10009718901

Conditional correlations between stock index, investment grade yield, high yield and commodities (gold and oil) during stable and crisis periods

Tuysuz, Sukriye - In: International journal of economics and finance 5 (2013) 9, pp. 28-44

Persistent link: https://www.econbiz.de/10010190858

Oil price drivers, geopolitical uncertainty and oil exporters' currencies

Akram, Qaisar Farooq - 2019

Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...

Persistent link: https://www.econbiz.de/10012214320

Capturing Long-Term Coupling and Short-Term Decoupling Crude Oil and Natural Gas Prices

Gatfaoui, Hayette - 2016

Recent research has focused on the prevailing relationship between crude oil and natural gas prices. Nowadays, it is well acknowledged that crude oil prices often drive natural gas prices. However, their relationship is unstable over time so that it exhibits regime changes. As a result, crude...

Persistent link: https://www.econbiz.de/10012978929