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Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model
16 references·4 citing·50 second hop
Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model (2011)Exploring the core factors and its dynami…Methods for Applied Macroeconomic Research (2011)Methods for Applied Macroecon…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Relationships between oil pri…Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Are Oil Shocks Inflationary?:…What is an Oil Shock? (2000)What is an Oil Shock?What happened to the oil price-macroeconomy relationship? (1996)What happened to the oil pric…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Forecasting with Bayesian Vector Autoregressions: Five Years of Experience (1986)Forecasting with Bayesian Vec…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Macroeconomics and Reality (1980)Macroeconomics and RealityExploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach (2022)Exploring the influence of th…An Empirical Analysis of the Relationships between Crude Oil,Gold and Stock Markets (2018)An Empirical Analysis of the …Metals: resources or financial assets? A multivariate cross-sectional analysis (2016)Metals: resources or financia…The 2014 oil bust: Causes and consequences (2015)The 2014 oil bust: Causes and…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Generalized impulse response analysis in linear multivariate models (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Panel Vector Autoregressive Models: A Survey (2013)Prior Selection for Vector Autoregressions (2014)U.S. Monetary Policy and the Global Financial Cycle (2020)Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and conditional projection using realistic prior distributions (1984)Bayesian Methods for Dynamic Multivariate Models (1998)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)The Role of Monetary Policy (1995)Postwar U.S. Business Cycles: An Empirical Investigation (1997)What do we learn from the price of crude oil futures? (2010)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 2009Large Bayesian vector auto regressions1,158 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 2008Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?926 cited
  • 1996What happened to the oil price-macroeconomy relationship?918 cited
  • 2002Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime737 cited
  • 2008Relationships between oil price shocks and stock market: An empirical analysis from China665 cited
  • 1986Forecasting with Bayesian Vector Autoregressions: Five Years of Experience

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629 cited
  • 2011Methods for Applied Macroeconomic Research573 cited
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    • 2022Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach54 cited
    • 2015The 2014 oil bust: Causes and consequences53 cited
    • 2018An Empirical Analysis of the Relationships between Crude Oil,Gold and Stock Markets51 cited
    • 2016Metals: resources or financial assets? A multivariate cross-sectional analysis17 cited