Global ETD Search
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Showing 1 to 20 of 104 for “"Oil price"”.
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Forecasting Oil Price Volatility
… study compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a …
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Optimal Monetary Policy and Oil Price Shocks
… U.S. monetary policy in the presence of oil price shocks. The second chapter is devoted to studying different approaches to modeling energy demand. </p><p>In an influential paper, Bernanke, Gertler, and Watson (1997) and (2004) argue that systematic monetary policy exacerbated the …
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Essays On Oil Price Volatility And Irreversible Investment
… for the volatility of daily spot</p> <p>crude oil prices. Empirical research over the past decades has uncovered</p> <p>significant gains in forecasting performance of Markov Switching GARCH</p> <p>models over GARCH models for the volatility of financial assets and crude</p> <p>oil futures. We …
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The effect of oil price shocks on the macroeconomy
The traditional view of oil price movements is that they represent exogenous changes in the supply of oil. In that case, oil price increases will hurt output. Recently, some have questioned whether oil price increases are actually due to higher demand for oil, in which case higher oil prices will …
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Essays On The Impact Of Oil Price Shocks On The Macroeconomy
<p>ABSTRACT </p> <p>ESSAYS O THE IMPACT OF OIL PRICE SHOCKS O THE </p> <p>Advisor: Dr. Ana María Herrera </p> <p>Major: Economics </p> <p>Degree: Doctor of Philosophy </p> <p>MACROECOOMY </p> <p>by </p> <p>LATIKA GUPTA LAGALO </p> <p>December 2011 </p> <p>This dissertation analyzes the relationship …
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Oil Price Movements and Equity Returns: Evidence from the GCC Countries
<p>This study examines to what extent how oil movements differently affect equity returns in general and sectoral levels of the GCC countries stock markets. Modeling the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the …
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Modelling the impact of oil price volatility on investment decision-making
… investment decision-making associated with the prices of crude oils. Since 1973, crude oil price behaviour has become more volatile, which suggested that different forces were driving crude oil prices. One of the main factors in generating the behaviour of crude oil prices is the role performed …
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Consequences of oil price plunges for the Kazakh economy and possible mitigation measures
The last oil prices plunge1, which started in June 2014, affected the world economies seriously. This dissertation addresses the reasons, which resulted in this situation on the world oil market. It then analyzes consequences for oil exporting and importing countries, opportunities and challenges …
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Essays On The Effects Of Oil Price Shocks On The U.s. Stock Returns
… research investigates the effect of changes in oil prices and oil price volatility on the U.S. stock returns. The first essay tests whether the sign and the size of oil price shocks matter for the U.S. stock returns. The results suggest a linear model provides a good approximation to the …
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An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… functions the future volatilities of crude oil future prices. In parts three and four, the ANNs are to simulate the inverse functions of option and compound options pricing models. Considering the recent importance of commodities in the world economy, it is very important to have a precise …
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The Industrial Production Response to Oil Price Changes: New Evidence for G7 Countries
Since the middle of the twentieth century, crude oil has emerged as one of the world's leading indicators of economic activity due to its outstanding importance in meeting the world's energy requirements. Today, the importance of crude oil as the main source of energy has declined somewhat due to …
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Essays On The Effects Of Oil Price Shocks And Monetary Shocks On Labor Reallocation
… regarding the asymmetric effects associated with oil and monetary shocks on the economy has revived interest in analyzing the channels of transmission that generate asymmetries in the response of economic activity to these shocks. This dissertation examines the role of the allocative channel in …
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Oil price shocks, exchange rate dynamics and stock market behaviour: empirical evidence from Nigeria
This thesis explores the relationship between oil price shocks, exchange rate dynamics and stock market behaviour in Nigeria using a variety of econometric specifications. The response of exchange rates and stock markets to oil price fluctuations is an issue of great interest to policy makers, …
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Oil price movements and exchange rate: evidence from selected net oil exporting countries in Africa
… as well as the causal relationship between oil price movements and exchange rates. The study uses daily data for a 12-year period commencing in January 2007 and December 2018, focuses on four net oil exporting African countries, namely, Nigeria, Angola, Algeria and Egypt. The data was …
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An analysis of the impact of crude oil price shocks on the exchange rate in South Africa
Numerous studies have investigated the impact of oil price shocks on the exchange rates in developed economies. However, fewer studies have examined the effect of oil price shocks in developing economies. One study by Turhan, Hacihasanoglu and Soytas in 2012 examines the dynamic effect of oil price …
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Dynamic relationship between oil price and macroeconomic variables: evidence from oil exporting and oil importing countries in Africa.
… long-run and short-run relationship between oil price and key macroeconomic variables, within the context of net oil-exporting and importing countries in Africa. Using quarterly data ranging from 1996(Q1) to 2016(Q4), panel ARDL estimation is carried out to analyse how asymmetric changes in …
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Towards realisation of stable oil prices: an empirical analysis of the impact of OPEC's oil price band/stabilisation policies.
… Exporting Countries (OPEC) in (de)stabilising oil prices by identifying and critically investigating a gap in the extant literature with respect to OPECs actions in the oil markets, vis-Ã -vis its stabilisation policies. Two research questions were addressed, namely: to what extent could OPEC …
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An empirical investigation of the impact of oil price changes in disparate systems : evidence from the UK and Libya
The impact of oil price changes on the demand for (and the supply of) the output of the oil and gas industry suggests that increased knowledge about the nature and effect of crude oil price movements is likely to be of interest to most institutions and organisations in the global economy. The …
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Developing a hybrid hidden MARKOV model using fusion of ARMA model and artificial neural network for crude oil price forecasting
Crude oil price forecasting is an important component of sustainable development of many countries as crude oil is an unavoidable product that exist on earth. Crude oil price forecasting plays a very vital role in economic development of many countries in the world today. Any fluctuation in crude …
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