Strategic Interactions and Price Dynamics in the Global Oil Market

Abstract

This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB.

Macro-financial Interactions in a Changing World

“…5 An important short-coming of this method is that since it requires stationarity, it makes it difficult to endogenously account for potential structural brakes, which may result in a lengthening or shortening of the cycles. Third, a less restrictive way of depicting the two cycles is by relying on turning points identification, by using the Bry-Boschan algorithm (Harding and Pagan (2002), (2006)). 6 The main drawback with this method is that it is excessively agnostic, and therefore, also has very limited theory to explain the results.…”

“…The related literature is relatively limited, and most of related works assess the degree of financial crises spill-overs across markets, without considering the across sectors aspect (real economy), or the non-crises times. 10 10 For instance, Gravelle et al (2006) find evidence of shift-contagion across currency markets, but not bond markets. Dungey et al (2010) find that the degree of shift-contagion depends on the crisis, with higher levels during subprime US 2007 crises or the 1998 Russian/LTCM crisis.…”

A decade of speculation

“…Indeed, the increase could have been even steeper, but for the US shale factor. Recent higher prices have meant that fields that were unviable have turned viable and investments that had to be stalled could be revived (Alonso Álvarez and Di Nino, 2017).…”

Real-time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis

“…Hence, although MSDF models allow for a timely assessment of turning points by relying on a set of indicators, they might be subject to a lack of accuracy when implemented in a context of heterogeneous downturns, which is typically observed at the international level. Jerzmanowski (2006) shows that output growth of emerging economies exhibit substantially different types of recurrent recessionary regimes. Also, Aguiar and Gopinath (2007) illustrate that modelling business cycles nonlinearities associated to emerging markets tends to be even more challenging than for the case of developed economies.…”