Long-term memory dynamics of crude oil price spread in non-dollar countries under the influence of exchange rates

Liu, Siyao; Fang, Wei; Gao, Xiangyun; An, Feng; Jiang, Meihui; Li, Yang

doi:10.1016/j.energy.2019.06.072

Cited by 11 publications

(5 citation statements)

References 40 publications

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“…This study presents an approach to modeling scenario development using the example of the oil industry of the Russian Federation, taking into account the conditions of general quarantine and the trends of the COVID-19 pandemic, which lead to a significant decrease in global economic activity and demand for crude oil. An approach to determining the factors of changes in crude oil price levels [ 23 , 25 , 38 , 39 , 52 , 60 ] and econometric approaches to estimating the strategic development of the industry [ 41 , 42 , 43 , 44 , 48 ] have significant methodological differences from existing research. The presented forecast methodology is based on the current approved agreement between OPEC countries and Russia on the reduction of oil production in order to balance the level of oil prices on the world energy market.…”

Section: Discussion: Macro and Micro Dynamics Of Open Innovation In T...mentioning

confidence: 99%

“…Most modern studies consider changes in the oil industry in terms of certain economic variables, such as the exchange rate [22][23][24][25][26], inflation rate [27][28][29][30], unemployment rate [31][32][33][34][35], innovations [36,37] and others. Researchers use different econometric methods, analyzing the nature of the relationship between the internal and the external variables [38][39][40][41][42][43][44][45][46][47].…”

Section: Introductionmentioning

confidence: 99%

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Predictive Scenarios of the Russian Oil Industry; with a Discussion on Macro and Micro Dynamics of Open Innovation in the COVID 19 Pandemic

Ponkratov

Kuznetsov

Bashkirova

et al. 2020

Journal of Open Innovation: Technology, Market, and Complexity

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The decrease in the economic activity level around the world due to the COVID-19 pandemic spread has led to a sharp decrease in the crude oil price and provoked an oil war outbreak in the global energy market. The current situation has provoked the need for a total decrease in the crude oil production in the world. Considering that Russia is one of the main oil exporters on the world market, the need to determine the supply and demand levels for Russian oil is becoming relevant. The aim of the paper is to model predictive scenarios of Russian oil industry development, considering the specifics of the current economic environment given the COVID-19 pandemic. The multifactor correlation modeling method was used to form the system of indicators determining the level of demand and supply for Russian oil used and the total level of their influence. The functions determine the probability of implementing various scenarios of oil industry development depending on the predicted values of demand and supply. The three-sigma rule and the fuzzy sets method were used to estimate three scenarios of oil industry development for 2020–2021. Changes in revenues of the industry under the influence of forecast indicators of supply and demand for oil have been assessed and the probability of implementation of each of the scenarios has been reasoned. The results obtained are of a practical nature and can be used by government agencies, financial intermediaries, and scientists to diagnose Russian oil industry development. The results will be useful for oil companies to develop a strategy of open innovations for further design of the scientific information field for the effective functioning of the industry in complete uncertainty conditions.

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Section: Discussion: Macro and Micro Dynamics Of Open Innovation In T...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Predictive Scenarios of the Russian Oil Industry; with a Discussion on Macro and Micro Dynamics of Open Innovation in the COVID 19 Pandemic

Ponkratov

Kuznetsov

Bashkirova

et al. 2020

Journal of Open Innovation: Technology, Market, and Complexity

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“…We obtained the sample data from the WIND commodity database, which is widely used by academics as a reliable source of commodity market information (Huang and Huang, 2020;Liu et al, 2019).…”

Section: Datamentioning

confidence: 99%

Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices

Zhang,

Zeng,

2023

Prague Economic Papers

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We examine the comovement between China's commodity futures and world crude oil prices based on their daily return series. Using a dynamic time-varying approach, we combine the generalized autoregressive score (GAS) model with the copula approach, allowing for asymmetry and tail dependence. Our results demonstrate a significant nonlinear causal impact of world crude oil prices on each of China's commodities. The comovement between China's commodity futures and crude oil prices is positive, with varying degrees of significance across different commodity types. Notably, non-ferrous metal and chemical commodity futures are more vulnerable to rising crude oil prices. From a dynamic perspective, we observe continued volatility in the comovement between China's commodity futures and world crude oil prices in recent years. Moreover, the time-varying dependence between the three non-ferrous metals and crude oil prices is higher than that of other commodities. These findings hold significant implications for global investors, risk managers and policymakers.

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“…Transport, housing, food, investment services and inflationary patterns are heavily influenced by the volatility of the price of oil. The global oil market is therefore a critically important driver of the global economy, but one that is also the prime focus of climate change policies (Liu et al, 2019). In addition, oil is at its core a negotiable monetary commodity and is therefore closely linked to the macroeconomic developments of recent years, including the instability of the stock market and the financial crisis (Oberholzer, 2017).…”

Section: Introductionmentioning

confidence: 99%

The Influence of the International Price of Oil on the Value of the EUR/USD Exchange Rate

Vochоzka¹,

Budějovice²,

Rowland³

et al. 2020

JOC

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A great number of researchers argue that the development of large swathes of the global economy and competitiveness are influenced by fluctuations in international oil prices. The aim of this article is to determine to what extent those fluctuations in oil prices influence the value of the Euro relative to the value of USD. Data on the EUR/USD exchange rate were used for the analysis, with the time series that follow based on the price of Brent Crude. Statistica software (version 13) was used for the data processing. The research was based on a unified procedure with gradual changes in one parameter, namely in the time series (1, 5, 10 and 30 days), following which a regression analysis using neural networks was performed based on 10,000 networks that were generated for each experimental combination. As a result, eight calculations and eight different outcomes were obtained. From each experiment, the 5 artificial neural networks that showed the best results were retained. The outcomes suggest that the EUR/USD exchange rate is strongly dependent on the international price of oil. The impact of fluctuations in the price of oil on the EUR/USD exchange rate can therefore be accurately predicted. These results imply that it is also possible to predict the impact of such fluctuations on the performance of national economies. These predictions can be used to enhance competitiveness, including that of companies actively operating in international markets.

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Long-term memory dynamics of crude oil price spread in non-dollar countries under the influence of exchange rates

Cited by 11 publications

References 40 publications

Predictive Scenarios of the Russian Oil Industry; with a Discussion on Macro and Micro Dynamics of Open Innovation in the COVID 19 Pandemic

Predictive Scenarios of the Russian Oil Industry; with a Discussion on Macro and Micro Dynamics of Open Innovation in the COVID 19 Pandemic

Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices

The Influence of the International Price of Oil on the Value of the EUR/USD Exchange Rate

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