Forecasting the real prices of crude oil under economic and statistical constraints

Wang, Yudong; Liu, Li; Diao, Xinshen; Wu, Chongfeng

doi:10.1016/j.eneco.2015.09.003

Cited by 56 publications

(20 citation statements)

References 57 publications

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“…As the demand on energy always maintains the tendency of a strong increase, as a strategic resource as well as a financial product, the price of oil will certainly be impacted by many comprehensive factors [14][15][16]. On the one hand, the marketization degree of the price of oil and coal has been very high in China, and was basically geared to international standards.…”

Section: Introductionmentioning

confidence: 99%

Impact of International Oil Price on Energy Conservation and Emission Reduction in China

et al. 2016

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Abstract:In the context of "new normal" economy and frequent "haze", the strategy of energy conservation and emission reduction aiming to lower costs and reduce pollution is currently still a major strategic direction in China and the world, and will remain so for some time in the future. This paper uses the annual data of West Texas Intermediate (WTI) crude oil price in 1987-2014 as samples. We firstly present the direction and mechanism of the influence of oil price change on total consumption of every kind of energy by path analysis, and then consider establishing a Structural Vector Autoregression model of energy conservation and emission reduction in three statuses. Research shows that if the international oil price increases by 1%, the energy consumption per GDP and carbon dioxide emission increase by 0.092% and 0.053% respectively in the corresponding period. In the status of high energy consumption and high emission, if the international oil price increases by 1%, the energy consumption per GDP and carbon dioxide emission increase by 0.043% and 0.065% respectively in the corresponding period. In the status of low energy consumption and low emission, if the international oil price increases by 1%, the energy consumption per GDP per unit increases by 0.067% and carbon dioxide emission decreases by 0.085% in the corresponding period.

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Section: Introductionmentioning

confidence: 99%

Impact of International Oil Price on Energy Conservation and Emission Reduction in China

et al. 2016

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“…To have an idea about this growth, it is sufficient to mention the tremendous rise of the ratio between financial and domestic corporate profits (Di Bucchianico 2020a , b ) or the flows into commodity investments, increased from $ 15 billion in 2003 to $ 250 billion in 2009 (Irwin and Sanders 2012 ). Financial institutions, insurance companies, pension funds, among others, can be considered the major causes of these vast inflows (Zhang et al 2017 ; Wang et al 2015 ; Mi et al 2017 ; Benedetto et al 2019 ). According to the US government, the share of US GDP produced by finance, insurance and real-estate industries has risen from 15 to 24 per cent making it bigger than manufacturing and close to the size of the service sector (Mason 2016 ; Krippner 2005 ).…”

Section: Rise and Reasons Of Financial Neoliberalismmentioning

confidence: 99%

A critique of financial neoliberalism: a perspective combining multidisciplinary methods and commodity markets

Vellucci

2021

SN Bus Econ

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The era of financialization bas been marked by a huge increase in the size of the financial sector. The economic justifications for this expansion arise from the prevailing neo-liberal ideology; they are based on arguments like leading role of markets, economic efficiency, reallocation and spreading of risk. Given these reasons, financialization can be viewed as a form of neoliberalism and then we can use the term financial neoliberalism (Palley in Financialization: the economics of finance capital domination. Springer, 2016) to denote it. This commentary paper hopes to complement this view by highlighting the usefulness of recent “multidisciplinary” methods (i.e., methods which do not fall within the usual economic discipline). We focus first on the definition of financialization process, second on its implications on the commodity markets, and third and finally on the importance of the role of multidisciplinary methods, applied to these markets, capable of highlighting the contradictions of the neoliberalism framework, in such a way, we hope, to promote further research.

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“…Economic activity Economic growth stimulates oil demand [109,[133][134][135][136][137][138][139][140].…”

Section: Other Commoditiesmentioning

confidence: 99%

Dynamic Model Averaging in Economics and Finance with fDMA: A Package for R

Drachal

2020

Signals

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The described R package allows to estimate Dynamic Model Averaging (DMA), Dynamic Model Selection (DMS) and Median Probability Model. The original methods, and additionally, some selected modifications of these methods are implemented. For example the user can choose between recursive moment estimation and exponentially moving average for variance updating in the base DMA. Moreover, inclusion probabilities can be computed in a way using “Google Trends” data. The code is written with respect to minimise the computational burden, which is quite an obstacle for DMA algorithm if numerous variables are used. For example, this package allows for parallel computations and implementation of the Occam’s window approach. However, clarity and readability of the code, and possibility for an R-familiar user to make his or her own small modifications in reasonably small time and with low effort are also taken under consideration. Except that, some alternative (benchmark) forecasts can also be quickly performed within this package. Indeed, this package is designed in a way that is hoped to be especially useful for practitioners and researchers in economics and finance.

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Forecasting the real prices of crude oil under economic and statistical constraints

Cited by 56 publications

References 57 publications

Impact of International Oil Price on Energy Conservation and Emission Reduction in China

Impact of International Oil Price on Energy Conservation and Emission Reduction in China

A critique of financial neoliberalism: a perspective combining multidisciplinary methods and commodity markets

Dynamic Model Averaging in Economics and Finance with fDMA: A Package for R

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