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Monopoly Power in the Oil Market and the Macroeconomy

Branger, Nicole; Flacke, René Marian; Gräber, Nikolai - 2019

This paper studies macroeconomic consequences of oil price shocks caused by innovations in the monopoly power in the oil market. Monopoly power is interpreted as oil producers' ability to charge a markup over marginal costs. We propose a novel way to identify markup shocks based on meetings of...

Persistent link: https://www.econbiz.de/10014118702

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/10015333302

The U.S. Oil Supply Revolution and the Global Economy

Mohaddes, Kamiar - 2016

This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...

Persistent link: https://www.econbiz.de/10012998782

Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?

Beckers, Benjamin - 2016

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact specification of VAR models for nominal oil price prediction is still open to debate,...

Persistent link: https://www.econbiz.de/10012999741

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10013021694

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2015

Persistent link: https://www.econbiz.de/10013022390

The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio's value-at-risk estimate

Su, Jung-Bin - In: The journal of risk model validation 8 (2014) 4, pp. 69-127

Persistent link: https://www.econbiz.de/10010506583

Climate risk and Chinese stock volatility forecasting : evidence from ESG index

Wang, Jiqian; Li, Liang - In: Finance research letters 55 (2023) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10014473275

Returns in commodities futures markets and financial speculation: a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Persistent link: https://www.econbiz.de/10010343837

How Does Stock Market Volatility React to Oil Shocks?

Bastianin, Andrea; Manera, Matteo - 2015

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10010491256