• Inflation expectations and the pass-through of oil prices 

      Cross, Jamie; Bjørnland, Hilde C; Aastveit, Knut Are (Journal article; Peer reviewed, 2021)
      Inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global oil market. We establish this result using a structural VAR model of the global oil ...
    • New Kid on the Block? China vs the US in World Oil Markets 

      Cross, Jamie; Nguyen, Bao H.; Zhang, Bo (CAMP Working Paper Series;02/2019, Working paper, 2019-04-08)
      China has recently overtaken the US to become the world largest importer of crude oil. In light of this fact, we formally compare contributions of demand shocks from China, the US and the rest of the world. We find that ...
    • On the China factor in the world oil market: A regime switching approach 

      Cross, Jamie; Hou, Chenghan; Nguyen, Bao (Peer reviewed; Journal article, 2021)
      We investigate the relationship between China's macroeconomic performance and the world oil market over the past two decades. Unlike existing studies, we allow for possible regime changes by utilizing a class of Markov-switching ...
    • On the Contribution of International Shocks in Australian Business Cycle Fluctuations 

      Cross, Jamie; Poon, Aubrey (Journal article; Peer reviewed, 2019)
      What proportion of Australian business cycle fluctuations are caused by international shocks? We address this question by estimating a panel VAR model that has time-varying parameters and a common stochastic volatility ...
    • Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil 

      Aastveit, Knut Are; Cross, Jamie; van Dijk, Herman K. (Peer reviewed; Journal article, 2022)
      We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...
    • Returns, Volatility and the Cryptocurrency Bubble of 2017-18 

      Cross, Jamie; Hou, Chenghan; Trinh, Kelly (Journal article; Peer reviewed, 2021)
      Research on cryptocurrencies has focused on price and volatility formation in isolation, however knowledge about their interdependence is important for risk management and asset allocation. We investigate the existence and ...
    • The role of precautionary and speculative demand in the global market for crude oil 

      Cross, Jamie; Nguyen, Bao H.; Tran, Trung Duc (Peer reviewed; Journal article, 2022)
      Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand shocks as a composite shock, named a storage demand shock. We resolve this identification problem and ...
    • Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts 

      Zhang, Bo; Chan, Joshua; Cross, Jamie (Journal article; Peer reviewed, 2020)
      We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a ...
    • Time-Varying Trend Models for Forecasting Inflation in Australia 

      Cross, Jamie; Zhang, Bo; Guo, Na (CAMP Working Paper Series;09/2020, Working paper, 2020-11-18)
      We investigate whether a class of trend models with various error term structures can improve upon the forecast performance of commonly used time series models when forecasting CPI inflation in Australia. The main result ...
    • Time-varying trend models for forecasting inflation in Australia 

      Guo, Na; Zhang, Bo; Cross, Jamie (Peer reviewed; Journal article, 2021)
      We investigate whether a class of trend models, which decompose a time series into an underlying trend and transitory component, with various error term structures can improve upon the forecast performance of commonly used ...