• Inflation expectations and the pass-through of oil prices 

      Aastveit, Knut Are; Bjørnland, Hilde Christiane; Cross, Jamie L. (CAMP Working Paper Series;03/2020, Working paper, 2020-06-25)
      Do inflation expectations and the associated pass-though of oil price shocks depend on demand and supply conditions underlying the global market for crude oil? We answer this question with a novel structural vector ...
    • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 

      Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey (CAMP Working Paper Series Paper No. 12/2018;, Working paper, 2018-11)
      We estimate the effects of domestic and international sources of macroeconomic uncertainty in three small open economy (SOE) inflation targeting countries: Australia, Canada and New Zealand. To this end, we propose a structural ...
    • Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs 

      Cross, Jamie L.; Hou, Chenghan; Koop, Gary; Poon, Aubrey (CAMP Working Paper Series;04/2021, Working paper, 2021-06-15)
      Vector autoregressions with stochastic volatility in both the conditional mean and variance are commonly used to estimate the macroeconomic effects of uncertainty shocks. Despite their popularity, intensive computational ...
    • On the China factor in international oil markets: A regime switching approach 

      Cross, Jamie L.; Hou, Chenghan; Nguyen, Bao H. (CAMP Working Paper Series Paper;11/2018, Working paper, 2018)
      We investigate the relationship between world oil markets and China's macroeconomic performance over the past two decades. Our analysis starts by proposing a simple method for disentangling real economic activity stemming ...
    • Quantifying time-varying forecast uncertainty and risk for the real price of oil 

      Aastveit, Knut Are; Cross, Jamie L.; van Dijk, Herman K. (CAMP Working Paper Series;03/2021, Working paper, 2021-06-01)
      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 ...
    • The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil 

      Cross, Jamie L.; Nguyen, Bao H.; Tran, Trung Duc (CAMP Working Paper Series;06/2021, Working paper, 2021-11-01)
      Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand as a composite shock, known as storage demand shocks, due to difficulties in identifying these distinct ...