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The impact of real oil price on real effective exchange rate: The case of Azerbaijan

Hasanov, Fakhri - 2010

Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...

Persistent link: https://www.econbiz.de/10010285766

Oil prices and the Swiss economy

Atukeren, Erdal - 2003

This paper examines the macroeconomic effects of an oil price shock in a small open industrial economy without oil resources, namely, Switzerland. First, we test whether oil price shocks Granger-cause Swiss macroeconomic variables, and use a medium-scale macroeconometric model to track the...

Persistent link: https://www.econbiz.de/10010285924

Macro Wine in Financial Skins: The Oil-FXInterdependence

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

, thereafter oil price changes cause inverse reactions of the dollar price and affect its volatility. Reversely, dollar …

Persistent link: https://www.econbiz.de/10005860502

Oil price and economic growth: A long story?

Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics 4 (2016) 4, pp. 1-28

volatility periods in both of them, separately. From a multivariate perspective, we do not observe a significant effect between …

Persistent link: https://www.econbiz.de/10011755344

Pass-through of crude-oil price shocks to consumer prices in Nigeria: Pre and post 2008 global financial crisis

Otoakhia, Eric I. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 115-143

This study investigates the responses of consumer price index (CPI) to crude oil priceshocks in the pre- and post-2008 global financial crisis. The study used the StructuralVector Autoregressive model to analyse monthly data from 2000M01 to 2019M12.The impulse response analysis showed that for...

Persistent link: https://www.econbiz.de/10012604577

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

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...

Persistent link: https://www.econbiz.de/10011083435

Causal Link between Oil Price and Uncertainty in India

Montasser, Ghassen El; Aggad, Kenza; Clark, Louise; … - Department of Economics, Faculty of Economic and … - 2014

relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy …-related economic uncertainty index as well as the stock market volatility index for India. Our results suggest that the standard … oil ETF volatility index does. Clearly, oil and India’s economic uncertainty go hand-in hand. These findings can thus be …

Persistent link: https://www.econbiz.de/10011095474

Understanding recent oil price dynamics: A novel empirical approach

D'Ecclesia, Rita L.; Magrini, Emiliano; Montalbano, … - In: Energy Economics 46 (2014) S1, pp. 11-11

and investors. The increasing volatility of crude oil prices in the last decade has encouraged many researchers to model …

Persistent link: https://www.econbiz.de/10011115925

The causal nexus between oil prices and equity market in the U.S.: A regime switching model

Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy Economics 39 (2013) C, pp. 271-282

The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes...

Persistent link: https://www.econbiz.de/10010868722