Skip to main navigation Skip to main content
info(at)avldigital.remove-this.de
Deutsch English
Last searches

Results for *

Displaying results 1 to 5 of 5.

  1. Daily oil price shocks and their uncertainties
    Author: Wang, Shu
    Published: [2024]
    Publisher:  Georg-August-Universität Göttingen, Göttingen

    This paper presents a high-frequency structural VAR framework for identifying oil price shocks and examining their uncertainty transmission in the U.S. macroeconomy and financial markets. Leveraging the stylized features of financial data -... more

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 42
    Inter-library loan:
    No inter-library loan

     

    This paper presents a high-frequency structural VAR framework for identifying oil price shocks and examining their uncertainty transmission in the U.S. macroeconomy and financial markets. Leveraging the stylized features of financial data - specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks increases the oil-equity price covariance, while precautionary demand shocks, triggering heightened investor risk aversion, significantly diminish this covariance. A real-time forecast error variance decomposition further highlights that oil supply uncertainty was the primary source of oil price forecast uncertainty from late March to early May 2020, yet it contributed minimally during the 2022 Russian invasion of Ukraine.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: University of Göttingen working paper in economics ; no. 436 (December 2024)
    Subjects: Oil price; uncertainty; impulse response functions; structural VAR; forecast error variance decomposition; GARCH
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. The European energy crisis and the US natural gas market dynamics
    a structural VAR investigation
    Author: Szafranek, Karol; Rubaszek, Michał
    Published: March 2024
    Publisher:  Warsaw School of Economics, Collegium of Economic Analysis, [Warsaw]

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 595
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.12182/1256
    Series: Collegium of Economic Analysis working paper series ; number: 099 (2024)
    Subjects: Natural gas market; structural VAR; Impulse-response function; Bayesian inference
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Exchange rate in emerging markets
    shock absorber or source of shock?
    Author: Pym Manopimoke; Nuwat Nookhwun; Jettawat Pattararangrong
    Published: [2024]
    Publisher:  [Puey Ungphakorn Institute for Economic Research], [Bangkok]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 785
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: 22 April 2024
    Series: Discussion paper / Puey Ungphakorn Institute for Economic Research ; no. 220 (April 2024)
    Subjects: flexible exchange rate; shock absorber; exchange rate pass-through; shock dependency; structural VAR
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. Real activity and uncertainty shocks
    the long and the short of it
    Author: Krogh, Mathias Sjøgreen; Pellegrino, Giovanni
    Published: [2024]
    Publisher:  Department of Economics and Management "Marco Fanno", University of Padova, Padova

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 653
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February 14, 2024
    Series: Marco Fanno working papers ; 310 (February 2024)
    Subjects: uncertainty shocks; medium-scale DSGE model; structural VAR; nonrecursive identification; VIX term structure
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  5. Impact of excess reserves on monetary policy transmission in Papua New Guinea
    Author: Wangi, Thomas
    Published: 2024
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1716
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2024, 16 (February 2024)
    Subjects: excess reserves; monetary policy transmission; structural VAR
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen