Volatility forecasting across tanker freight rates: The role of oil price shocks

Forecasting Crude Oil Price Volatility

We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...

Oil Price Shocks and Inflation

The historical record Figure 1 plots the price of oil relative to the core personal consumption expenditures price index (PCEPI) together with the core PCEPI inflation rate. (Core measures of inflation exclude food and energy prices.) The figure shows that the price of oil jumped sharply twice in the 1970s, as did inflation. But this relationship appears to have deteriorated over the latter par...

An Empirical Analysis of the Price Discovery Function in Tanker Forward Freight Agreement Market

Oil price shocks and trade imbalances

a r t i c l e i n f o JEL classification: F1 F4 Q43 N75 Keywords: Oil price shock Trade balance VAR Granger non-causality test Gregory-Hansen cointegration test This study aims to examine whether a large part of the variability of trade balances and their oil and non-oil components is associated with oil price fluctuations. The long-run causality running from oil price to overall, oil and non-o...

Oil Price Shocks, Inventories and Macroeconomic Dynamics

This paper employs disaggregated manufacturing data to investigate the causes of the time delay between an increase in oil prices and the following slowdown in economic activity. VAR results show that, unlike aggregate GDP, the effect of an oil price shock on new motor vehicles production shows up immediately and is statistically significantly. After one quarter, similar patterns are observed f...