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On the Oil Price Uncertainty

Zied Ftiti and Fredj Jawadi

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.zfti
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Abstract:
This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Terasvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility, stochastic volatility moving average, leverage stochastic volatility models. We compute the out-of-sample forecasts for the uncertainty in oil prices using the estimates for these three stochastic oil price volatility models and we discuss its effects. Our findings show that the standard stochastic volatility model outperforms the other two models when focusing on oil price uncertainty. This finding is relevant to better forecast and understand the effects of oil price uncertainty on the real economy.



Oil Price Shocks in Major Emerging Economies

Nahiyan Faisal Azad and Apostolos Serletis

Year: 2022
Volume: Volume 43
Number: Number 4
DOI: 10.5547/01956574.43.4.naza
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Abstract:
As the world economic power shifts from the advanced G7 countries—Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States—to the seven largest emerging market countries (EM7)—Brazil, China, India, Indonesia, Mexico, Russia, and Turkey—the vulnerability of these emerging market countries to exogenous shocks is becoming of growing importance. This paper presents a comprehensive examination of the effects of oil price shocks on real economic activity in the EM7 economies in the context of two classes of empirical models. In general, we find that oil price uncertainty has statistically significant effects on the real output of the EM7 economies and that the relationship between oil prices and economic activity is in general symmetric. We also find that oil price uncertainty has in general a negative effect on world crude oil production.



Oil Price Uncertainty and M&A Activity

Samuel D. Barrows, Magnus Blomkvist, Nebojsa Dimic, and Milos Vulanovic

Year: 2023
Volume: Volume 44
Number: Number 4
DOI: 10.5547/01956574.44.4.sbar
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