The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market

By Christiane Baumeister, G. Peersman. 2013

405 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/a3b6d42c7349108f87b5583b5a70e27315c542e4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Modeling fluctuations in the global demand for commodities (2018, neutral): “Other researchers have proposed various measures of changes in global real output or in the volume of shipping of industrial raw materials (see, e.g., Kilian 2009a; Baumeister and Peersman 2013; Ravazzolo and Vespignani 2015).”
What Central Bankers Need to Know about Forecasting Oil Prices (2014, positive): “Indeed, TVP-VAR models have been used to describe the evolution of the global market for crude oil, although those models have been smaller in dimension and simpler than the VAR model underlying our analysis (see, e.g., Baumeister and Peersman, 2013).”
Historical energy price shocks and their changing effects on the economy (2017, methodology): “2 To extend our understanding of a possible tendency towards declining vulnerability and possibly greater resilience, the primary purpose of this paper is to estimate the changing impacts of energy price shocks in the United Kingdom over the last three hundred years, and at different phases of…”
What Drives Oil Prices? Emerging versus Developed Economies (2012, neutral): “However, this makes column two and three of the sign restriction (12)Baumeister and Peersman (2012a) estimate the price elasticity of oil supply to be very small in our estimation period, consistent with the view that the short-run supply curve is nearly vertical.”
Narrative Sign Restrictions for SVARs (2018, positive): “An extensive literature has studied the effect of monetary policy shocks on output using SVARs, identified with zero restrictions, as in Christiano et al. (1999), Bernanke and Mihov (1998), sign restrictions, as in Uhlig (2005), or both, as in Arias et al.”
Commodity price volatility and the economic uncertainty of pandemics (2020, background): “The negative response of oil volatility is in line with the findings of Van Robays (2016) and Baumeister and Peersman (2013).”
Asymmetries in the response of economic activity to oil price increases and decreases (2015, background): “12 The model in (4a)-(4b) —hereafter (4)— nests specifications with symmetric and asymmetric effects of oil price shocks on industrial production growth.”
Crude Oil Prices and COVID-19: Persistence of the Shock (2020, background): “Luis Alberiko Gil-Alana University of Navarra ICS-NCID E-31090 Pamplona, Spain Email: alana@unav.es a Gil-Alana, L. A., & Monge, M. (2020). Crude Oil Prices and COVID-19: Persistence of the Shock.”
Common Factors of Commodity Prices † (2018, result): “This result is consistent with estimates from empirical models of the global oil market, which attributed the bulk of the cumulative increase in the price of oil to global demand shocks (Kilian (2009), Baumeister and Peersman (2013), Kilian and Murphy (2014).”
The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses (2015, neutral): “The weaker relationship also points to a smaller response of activity to price changes at present.8 8 For the changing nature of the relationship between oil prices, and activity and inflation, see Blanchard and Galí (2008), Blanchard and Riggi (2013), and Baumeister and Peersman (2013).”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, positive): “Baumeister and Peersman (2013a) demonstrate that the volatility of the real price of crude oil has been higher since 1986 and that the volatility of global oil production has trended downwards over the last thirty five years.”