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A characterization of oil price behavior: Evidence from jump models

Gronwald, Marc - 2011

GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10010278896

Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?

Kilian, Lutz - 2019

We study the efficacy of releases from the U.S. Strategic Petroleum Reserve (SPR) within the context of fully specified models of the global oil market that explicitly allow for storage demand as well as unanticipated changes in the SPR. Using novel identifying strategies and evaluation methods,...

Persistent link: https://www.econbiz.de/10012865918

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

The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation : Evidence from Developed and Emerging Economies

Anderl, Christina; Caporale, Guglielmo Maria - 2023

This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and...

Persistent link: https://www.econbiz.de/10014260984

Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10013211113

Oil Prices, Exchange Rates and Interest Rates

Kilian, Lutz - 2019

There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...

Persistent link: https://www.econbiz.de/10012892101

The Econometrics of Oil Market VAR Models

Kilian, Lutz - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012839764

A Meta-Analysis of the Total Economic Impact of Climate Change

Tol, Richard S. J. - 2022

Earlier meta-analyses of the economic impact of climate change are updated with more data, with three new results: (1) The central estimate of the economic impact of global warming is always negative. (2) The confidence interval about the estimates is much wider. (3) Elicitation methods are most...

Persistent link: https://www.econbiz.de/10014077186

Advancing Global Carbon Abatement with a Two-Tier Climate Club

Iverson, Terrence - 2022

A two-tier climate club exploits the comparative advantage of large countries to mete out punishments through trade, while taking their capacity to resist punishment as a constraint. Countries outside the coalition price carbon at a fixed fraction of the average carbon price adopted within the...

Persistent link: https://www.econbiz.de/10014081042

Climate Change Mitigation : How Effective is Green Quantitative Easing?

Abiry, Raphael; Ferdinandusse, Marien; Ludwig, Alexander; … - 2022

We develop a two sector incomplete markets integrated assessment model to analyse the effectiveness of green quantitative easing (QE) in complementing fiscal policies for climate change mitigation. We model green QE through an outstanding stock of private assets held by a monetary authority and...

Persistent link: https://www.econbiz.de/10014081044