This study analyses oil price movements through the lens of an agnostic random forest model, which is based on 1,000 regression trees. It shows that this highly disciplined, yet flexible computational model reduces in-sample root mean square errors (RMSEs) by 65% relative to a standard linear...

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality...

The sharp upturn of energy and food prices have become serious challenges almost all over the globe. Despite the voluminous literature on the relationship between energy prices and food prices, the existing research, however, mostly relied on linear frameworks and aggregate measures of energy...

Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically. The conjunction of these developments has led some observers to argue that financial speculation caused the run-up in oil...

This paper investigates the role of the COVID-19 pandemic in oil markets, focusing on the great oil price crash in April 2020. Using a 5-variable structural vector autoregression (SVAR) model, the study identifies an oil price shock arising from the pandemic together with supply, demand, and...

The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (VAR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE-100) returns for the...

It is a well-established regularity that permanent oil price shocks do not have a permanent effect on the current account deficit. This requires that sub-components of the current account or trade balance will make the necessary adjustments to accommodate the higher energy bill of a country...

We contribute to the task of identifying trends and cycles in energy prices by examining very long series of prices for coal and oil, going back to 1650 in the case of coal and 1859 in the case of oil. We find annual rates of increase in real price of greater than two percent are found for coal...