The U.S. shale revolution, using new technologies to extract crude oil, has led dynamics in the supply side of global oil market. We ask whether revolution dampened role geopolitical risk price volatility. extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model structural SBT-VAR and identify innovations by allowing conditional heteroskedasticity. Compared with co...

Abstract I n this paper, the behavior of the real oil price and OPEC and non-OPEC oil production during 1973-2013 are modelled. Interactions among OPEC, non-OPEC oil production, global oil consumption, and the real price of crude oil are estimated using a Structural VAR model (SVAR). After providing evidence for the structural breaks in oil price in 1996, the results indicate that, ac...

Crude oil exerts a strong influence on national economy. Changes of international crude oil price have an important effect on Chinese economy because of China’s high dependence on the import of the crude oil. Thus, Chinese stock market can be shocked by the fluctuation of oil price. Reversely, changes in crude oil imports of China have some effect on demands and price of the crude oil. This art...

Employing the dataset of WTI oil spot price and stock price index in China Brazil, India, US, German, France, UK and Japan, this paper obtains five subinterval of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyses dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulatio...

Given the effects of inflation on the decline of household welfare and its impact on production and investment, identifying the factors affecting it in order to adjust inflation and achieve price stability is necessary. Therefore, using the TVP-FAVAR model, which differentiates the fluctuations in factors affecting inflation, we try to identify the effects of different shocks such as liquidity,...

During the first quarter of 2002, the price of crude oil averaged $19.67 per barrel. Four years later, in the first quarter of 2006, the average price of oil had risen to $63 per barrel. Indeed, the high price of oil may not be a short-lived phenomenon: Futures markets indicate that investors expect the price of oil to remain above $70 per barrel through 2008. For the postwar U.S. economy, the ...

Fluctuations in crude oil price significantly impact the global economic market. A rise or a fall leads to redistribution of wealth in both oil-exporting and importing countries. Under such background, efficient and accurate predictions for crude oil price are critical for a stable economic development. However, crude oil price forecasting has been proved to be an extremely tough task, due to i...

We examine the nexus between oil price and exchange rate for Bangladesh economy by using annual data covering from 1980 to 2018. Given stationarity properties, Johansen cointegration ARDL bounds tests find a long-run cointegrating relationship variables. that granger causes in but not short-run. According DOLS DARDL model, an increase appreciates 0.40% 0.30%. argue central bank's proper monitor...