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Quantifying time-varying forecast uncertainty and risk for the real price of oil

Aastveit, Knut Are; Cross, Jamie - 2021

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...

Persistent link: https://www.econbiz.de/10012661575

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...

Persistent link: https://www.econbiz.de/10013353581

The connectedness of Energy Transition Metals

Bastianin, Andrea; Casoli, Chiara; Galeotti, Marzio - 2023

positively correlated with proxies of economic activity, whereas volatility connectedness seems to be more related to global …

Persistent link: https://www.econbiz.de/10014305713

Is the Price Cap for Gas Useful? Evidence from European Countries

Ravazzolo, Francesco; Rossini, Luca - 2023

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

Persistent link: https://www.econbiz.de/10014451714

How are oil supply shocks transmitted to the U.S. economy?

Geiger, Martin; Güntner, Jochen - 2019

We investigate how oil supply shocks are transmitted to U.S. economic activity, consumer prices, and interest rates. Using a structural VAR approach with a combination of sign and zero restrictions, we distinguish between supply and demand channels in the transmission of exogenous changes in...

Persistent link: https://www.econbiz.de/10012140936

Re-visiting the relationship between oil prices and monetary policy

Bjørnland, Hilde Christiane; Cross, Jamie; Hölz, Jonas - 2025

This paper examines how central banks respond to supply-side shocks and investigates the trade-offs they face in stabilizing inflation and output. To do so we develop a dual external instrument proxy structural vector autoregressive (SVAR) model to disentangle the macroeconomic effects of oil...

Persistent link: https://www.econbiz.de/10015433754

Unveiling inflation: Oil shocks, supply chain pressures, and expectations

Aastveit, Knut Are; Bjørnland, Hilde Christiane; … - 2024

This paper demonstrates that inflation expectations have acted as significant amplifiers of recent global demand and supply shocks, thereby playing a crucial role in maintaining inflation at relatively high levels. This finding is established by applying a structural vector autoregression model...

Persistent link: https://www.econbiz.de/10015433755

Mitigating the impact of fuel subsidy removal in an oilproducing emerging economy

Maih, Junior; Omotosho, Babatunde S.; Yang, Bo - 2024

effects of this policy change under different regimes of oil price volatility and monetary policy. Our empirical findings … adjustments that synchronize with states of high oil price volatility. We also find that subsidy removal has welfare-reducing and … heterogenous effects on households, especially when implemented in an environment of heightened volatility. The efficacy of …

Persistent link: https://www.econbiz.de/10015433828

Productivity, energy prices, and the great moderation: A new link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008

volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility. …

Persistent link: https://www.econbiz.de/10010292361

Energy Dependency and Long-Run Growth

Novelli, Giacomo - 2022

showing that the energy price volatility negatively affects the long-run economic growth of countries with a low degree of …

Persistent link: https://www.econbiz.de/10013470533