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	Provedor de dados AgEcon (3) Autor Bastianin, Andrea (1) Manera, Matteo (1) Markandya, Anil (1) Morana, Claudio (1) Scarpa, Elisa (1) Xu, Haiyan (1) Zhang, ZhongXiang (1) Mais... Palavra-chave Oil Price (3) Resource /Energy Economics and Policy (2) C12 (1) C22 (1) C49 (1) C52 (1) C53 (1) E32 (1) Econometric Models (1) F01 (1) Factor Vector Autoregressive Models (1) Financial speculation (1) Forecasting (1) G12 (1) International Business Cycle (1) Limit Probability of a Markov Chain (1) Log-normality Distribution (1) Macro-finance Interface (1) O13 (1) OPEC (1) Mais... Tipo do documento Working Paper (2) Working or Discussion Paper (1) Ano 2012 (1) 2011 (2) País United States (3) Idioma Inglês (3)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 3 Primeira ... 1 ... Última A Trend Deduction Model of Fluctuating Oil Prices AgEcon Xu, Haiyan; Zhang, ZhongXiang. Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state classification and state transition analysis of changing oil prices from January 2004 to April 2010, this paper first verifies that the observed crude oil price series during the soaring period follow a Markov Chain. Next, the paper deduces the changing trends of oil prices by the limit probability of a Markov Chain. We then undertake a probability distribution analysis and find that the oil price series have a log-normality distribution. On this basis, we integrate the... Tipo: Working or Discussion Paper Palavras-chave: Oil Price; Log-normality Distribution; Limit Probability of a Markov Chain; Trend Deduction Model; OPEC; Resource /Energy Economics and Policy; Q41; Q47; C12; C49; F01; O13. Ano: 2011 URL: http://purl.umn.edu/101300 Oil Price Forecast Evaluation with Flexible Loss Functions AgEcon Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa. The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as... Tipo: Working Paper Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43. Ano: 2011 URL: http://purl.umn.edu/120042 Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation AgEcon Morana, Claudio. What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the major upward driver of the real oil price since the mid 1980s, also financial shocks have sizably contributed since the early 2000s, and at a much larger extent since the mid 2000s: over the period 2004:1 through 2010:3, the real oil price increased 65%; of the latter, 33% is related to fundamental financial shocks, 11% to non fundamental financial shocks, with macroeconomic and oil market supply side shocks contributing with a 5% and 3% increase, respectively. Yet, it would be inaccurate describing the third oil price shock as a purely financial episode: macroeconomic shocks largely accounted for the 65% real oil price run up... Tipo: Working Paper Palavras-chave: Oil Price; Financial speculation; Macro-finance Interface; International Business Cycle; Factor Vector Autoregressive Models; Resource /Energy Economics and Policy; C22; E32; G12. Ano: 2012 URL: http://purl.umn.edu/121723 Registros recuperados: 3 Primeira ... 1 ... Última

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