We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price observations. We show that oil price forecasts improve significantly when this asymmetry is explicitly modelled.

This paper evaluates the response of oil price and exchange rate to corona virus pandemic shock aside from link between for first three quarters 2020 in Nigeria. The theoretical framework emanates informal approach terms trade channels. Using VAR cointegration approach, results show existence long run relationship among price, movement indicators based on Max-Eigen Trace test statistic. End qua...

This paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on China's fundamental industries: metals, petrochemicals, grains and oilfats. We separated the volatilities of oil price into expected, unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets. We contrasted th...

In many economies, commodity price volatility is one of the sources of signaling to market players. Different experiences of price shocks have led economists to reconsider price shocks. Considering the effects of monetary policy on the inflation rate, the present study investigates the impact of monetary policy shock on the price of storable food commodities. In this regard, data for 2006: 01 t...

The crude oil price fluctuation investigation is to explore the impact of shocks on countries’ economic growth. Vector Autoregressive Model (VAR) was applied and variance decomposition analyze GDP growth due shock price. Besides, nine countries' data were collected from 1990 third quarter 2020. impacted by in 5 years respectively: 44.98%; 40.03%; 31.06%; 32.27%; 33.21%; 36.03%; 27.79%; 15.35%; ...

according to the importance of careful review of crude oil market fluctuations on the iranian economy, in this paper a multivariate model of markov switching vector error correction model (have been used). variables such as real gross domestic product in industrial sector, real effective exchange rate, real governmental expenditure, real import, inflation rate and real crude oil price is used t...

the purpose of establishing foreign reserves account in iran was mainly to secure iran's economy from the oil's price changes. it was to compensate for oil price reduction. but foreign reserves account withdrew excessively and did not allocate it optimally. that's why; it went for away from its practical purpose. this study focuses on the use of official assessment pattern to rev...