scholarly journals THE ROLE OF TIME-VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHANGES IN THE CRUDE OIL MARKET

2012 ◽  
Vol 28 (7) ◽  
pp. 1087-1109 ◽  
Author(s):  
Christiane Baumeister ◽  
Gert Peersman
Keyword(s):  
Crude Oil ◽  
Time Varying ◽  
Price Elasticities ◽  
Oil Market

scholarly journals Oil Price Forecasting Using a Time-Varying Approach

Energies ◽  
2020 ◽  
Vol 13 (6) ◽  
pp. 1403
Author(s):  
Lu-Tao Zhao ◽  
Shun-Gang Wang ◽  
Zhi-Gang Zhang
Keyword(s):  
Crude Oil ◽  
Time Window ◽  
Oil Prices ◽  
Oil Price ◽  
Price Forecasting ◽  
Time Varying ◽  
Crude Oil Price ◽  
Trend Prediction ◽  
Oil Market ◽  
Polynomial Decomposition

The international crude oil market plays an important role in the global economy. This paper uses a variable time window and the polynomial decomposition method to define the trend term of time series and proposes a crude oil price forecasting method based on time-varying trend decomposition to describe the changes in trends over time and forecast crude oil prices. First, to characterize the time-varying characteristics of crude oil price trends, the basic concepts of post-position intervals, pre-position intervals and time-varying windows are defined. Second, a crude oil price series is decomposed with a time-varying window to determine the best fitting results. The parameter vector is used as a time-varying trend. Then, to quantitatively describe the continuation of the time-varying trend, the concept of the trend threshold is defined, and a corresponding algorithm for selecting the trend threshold is given. Finally, through the predicted trend thresholds, the historical reference data are selected, and the time-varying trend is combined to complete the crude oil price forecast. Through empirical research, it is found that the time-varying trend prediction model proposed in this paper achieves a better prediction than several common models. These results can provide suggestions and references for investors in the international crude oil market to understand the trends of oil prices and improve their investment decisions.

scholarly journals Revisiting the Integration of China Into the World Crude Oil Market: The Role of Structural Breaks

2019 ◽  
Vol 7 ◽  
Author(s):  
Zhenhua Liu ◽  
Zhihua Ding ◽  
Pengxiang Zhai ◽  
Tao Lv ◽  
Jy S. Wu ◽  
...  
Keyword(s):  
Crude Oil ◽  
Structural Breaks ◽  
Oil Market ◽  
The World

Time-varying predictability of oil market movements over a century of data: The role of US financial stress

2019 ◽  
Vol 50 ◽  
pp. 100994 ◽  
Author(s):  
Rangan Gupta ◽  
Patrick Kanda ◽  
Aviral Kumar Tiwari ◽  
Mark E. Wohar
Keyword(s):  
Financial Stress ◽  
Time Varying ◽  
Oil Market

scholarly journals Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

2022 ◽  
Vol 9 ◽  
Author(s):  
Shuaishuai Jia ◽  
Hao Dong ◽  
Zhenzhen Wang
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Market Risk ◽  
Test Method ◽  
Commodity Market ◽  
Oil Market ◽  
Channel Effect ◽  
The Impact ◽  
Financial Market Risk

The impact channel of crude oil market risk on the macroeconomy is highly related to oil attributes. This paper uses a stepwise test method with dummy variables to identify the channel effect of commodity market risk as well as financial market risk and explore the characteristics of the channel effect in different periods dominated by different oil attributes. Furthermore, this paper investigates the asymmetric characteristics of the channel effect under the condition of crude oil returns heterogeneity. The empirical results show that: First, commodity market risk, as well as financial market risk plays a channel role in the impact of crude oil market risk on the macroeconomic operation. Second, there is a significant difference in the ability of the commodity market and financial market to cope with shocks of crude oil market risk in periods dominated by different attributes. During the period dominated by the commodity attribute of oil, both commodity market and financial market play the role of “risk buffer”; during the period dominated by dual attributes of oil, the commodity market risk plays the role of “risk buffer”, while the financial market risk plays the role of “magnifier” of the crude oil market risk. Third, the channel effect pattern and degree of commodity market risk and financial market risk are significantly asymmetric.

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