The COVID-19 epidemic has severely affected the world economy and energy markets. In order to alleviate the shock, stabilize the financial market, and promote economic recovery, the Fed announced an unlimited QE policy. In order to understand the impact of the policy on the energy market under...

In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...

The global oil market has experienced a steady decline in oil production volatility and a concurrent increase in the volatility of real oil prices since the mid-1980s. To study the underlying causes of the diverging volatility dynamics, we estimate a generalized time varying SVAR model that...

The article aims to verify whether cryptocurrencies can hedge extreme price movements of Brent oil. The COVID-19 pandemic revealed that the prices of oil are strongly dependent on economic uncertainty, as well as on the mobility factor. We analyse the Brent oil prices from February 10, 2020, to...

In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...

The global oil market has experienced a steady decline in oil production volatility and a concurrent increase in the volatility of real oil prices since the mid-1980s. To study the underlying causes of the diverging volatility dynamics, we estimate a generalized time varying SVAR model that...

This study examines the nexus between oil prices, economic policy uncertainty and stock markets in a panel of selected major oil importing countries between June 2014 and October 2020. We analyzed China, India, Germany, Italy and Japan in the study because these countries are among the largest...

With greater importance given to the climate change debate, energy has slowly attracted the complete attention of the whole world. The energy sector can be roughly divided into renewable energy, on the one hand, and fossil fuels, on the other. The former category is at the core of all the main...

The development and use of intelligent methods as an emerging trend is attracting attention in the academia and industries, including petroleum industry. Forecasting OPEC petroleum consumption can go to a greater extend in helping the management of OPEC to properly manage petroleum demand and...

This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...

Due to growing oil imports, political leaders had been forced to let private companies produce the much-needed oil without which modern life is impossible. The most strident political clashes with what is known as ‘oil nationalism’, both ending in a coup d’´etat, happened in the period...

The 2020 COVID-19 driven recession saw a sharp drop in carbon dioxide emissions as transportation and some other energy uses were curtailed. This was an unusual recession as it was driven by a pandemic. Previous research shows that when GDP declines carbon emissions fall faster relative to GDP...

This study provides novel analysis of the events in the WTI crude oil futures market on April 20, 2020. We detail how the arbitrage linkages between the NYMEX CL contract and the e-mini NYMEX QM contract broke down and report new information about the unusual market conditions on that date....

Given the economic and geopolitical importance of oil, it is important to understand the resilience of the global oil trade network to shocks. In this paper, the aim is to identify the structure of the global oil trade network and its resilience to shocks. First, the structure of the global oil...

The recent calls for the revival of the Oil Price Stabilization Fund (OPSF) are tantamount to a call for a policy reversal, that is, reversal of the downstream oil industry deregulation that began in 1998. The history of the OPSF presents important lessons for policymakers. Petroleum price...

We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...

We use the conditional autoregressive value at risk (CAViaR) model in combination with the time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to study the systematic tail risk transmission considering two types of crude oil (Brent and WTI) and also four refined...

This paper studies whether the economies’ oil structure, the source of oil shocks, and the regime changes can potentially affect the stock price’s responses or not. Hence, after dividing the whole time period into two regimes (bull and bear market), and considering three different oil...

The aim of this paper is to investigate how major net oil exporter economies react to oil price shocks. We contribute to the literature by considering, at the same time, the possible nonlinearity and asymmetry of this relationship with respect to sign, size and causes of the oil price shocks, as...

This paper uses a new empirical strategy to identify oil supply news shocks within a Non-Causal VAR model of standard global oil market variables. These shocks explain most of the movements in oil production over a long but finite time horizon. Our findings highlight the prominent role of...

This paper attempts to investigate the effects of Coronavirus spread on oil companies. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths, on daily basis from March 15, 2020, to August 31, 2020. This has been applied to the top 10 oil companies...

The pricing mechanism in the gasoline market has often been the subject of public debate in Greece during the crisis years. Inefficient pricing could imply oligopolistic practices and losses to consumers' welfare. A way to test for inefficient pricing, is by testing for asymmetries in the...

This research examines empirically volatility spillover effect of oil prices on exchange rate. We are specifically concerned with the comparison of the relative magnitude of the oil shock on the exchange rate volatilities of 5 major oil importers (Pakistan, India, China, Japan, and Germany) and...

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...

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...

This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil. The data coverage of daily returns was from August 2015 to April 2019. We applied...

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between...

The aim of this paper is to investigate how major net oil exporter economies react to oil price shocks. We contribute to the literature by considering, at the same time, the possible nonlinearity and asymmetry of this relationship with respect to sign, size and causes of the oil price shocks, as...

This paper assesses information contained in the micro dataset of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information...

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...

Purpose - The crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes. Design/methodology/approach - The...