Browsing Centre for Applied Macro- and Petroleum economics (CAMP) by Title
Now showing items 91-110 of 132
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Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring
(CAMP Working Paper Series;02/2023, Working paper, 2023-02-27)Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful ... -
Oil Windfalls and Regional Economic Performance in Russia
(CAMP Working Paper Series;02/2022, Working paper, 2022-08-11)I construct a novel dataset to investigate the effects of oil income in regions of Russia. My data combines regional level data on oil endowments and a wide range of economic series for 85 geographical regions of Russia. ... -
Oil-Price Density Forecasts of U.S. GDP
(CAMP Working Papers Series;10/2015, Working paper, 2015)We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to the ... -
On the China factor in international oil markets: A regime switching approach
(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 ... -
On the use of machine learning for causal inference in climate economics
(CAMP Working Paper Series Paper;05/2019, Working paper, 2019-06)One of the most important research questions in climate economics is the relationship between temperatures and human mortality. This paper develops a procedure that enables the use of machine learning for estimating the ... -
OPEC's crude game: The supply curve in a dynamic, strategic environment
(CAMP Working Paper Series;10/2019, Working paper, 2019-11)The market behavior nationalized oil companies in the Organization of Petroleum Exporting Countries (OPEC) is starkly time-varying. I rationalize OPEC's behavior in an infinitely repeated game of Cournot competition with ... -
OPEC’s Crude Game: Strategic Competition and Regime-switching in Global Oil Markets
(CAMP Working Paper Series;01/2021, Working paper, 2021-01-25)We develop a model of oligopolistic competition under imperfect monitoring and dynamic observable demand. Efficient symmetric equilibria feature disciplined cooperative regimes interrupted by rare but severe price wars. ... -
Optimal Portfolio Choice under Decision-Based Model Combinations
(CAMP Working Paper Series;9/2015, Working paper, 2015)We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ... -
Petro Populism
(CAMP Working Paper Series;1/2014, Working paper, 2014)We aim to explain petro populism|the excessive use of oil revenues to buy political support. To reap the full gains of natural resource income politicians need to remain in office over time. Hence, even a rent-seeking ... -
Petro Rents, Political Institutions, and Hidden Wealth: Evidence from Bank Deposits in Tax Havens
(CAMP Working Paper Series;7/2013, Working paper, 2013)Do political institutions limit rent-seeking by politicians? To address this question, we study the transformation of petroleum rents into hidden wealth using unique data on bank deposits in tax havens. We find that ... -
Predicting the Volatility of Cryptocurrency Time–Series
(CAMP Working Paper Series;3, Working paper, 2018-02)Cryptocurrencies have recently gained a lot of interest from investors, central banks and governments worldwide. The lack of any form of political regu- lation and their market far from being “efficient”, require new forms ... -
The Price Responsiveness of Shale Producers: Evidence From Micro Data
(CAMP Working Paper Series;05/2021, Working paper, 2021-09-11)Shale oil producers respond positively and significantly to favourable oil price signals. This finding is established using a novel proprietary data set consisting of more than 200,000 shale wells across ten U.S. states ... -
Probabilistic Quantile Factor Analysis
(CAMP Working Paper Series;05/2023, Working paper, 2023-08-03)This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is ... -
Proper scoring rules for evaluating asymmetry in density forecasting
(CAMP Working Paper Series;06/2020, Working paper, 2020-09-01)This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, ... -
Quantifying supply-side climate policies
(CAMP Working Paper Series;01/2022, Working paper, 2022-02)What are the effects of supply-side climate policies? We use global firm-level data to estimate the impact of 130 oil-tax reforms between 2000 and 2019 on oil production, exploration and discoveries. Higher taxes are found ... -
Quantifying time-varying forecast uncertainty and risk for the real price of oil
(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 ... -
Residential investment and recession predictability
(CAMP Working Paper Series;8, Working paper, 2017-12)We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ... -
Residential investment and recession predictability
(CAMP Working Paper Series;8, Working paper, 2017-12)We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent ... -
Risky news and credit market sentiment
(CAMP Working Paper Series;14/2023, Working paper, 2023-12-14)The nonlinear nexus between financial conditions indicators and the conditional distribution of GDP growth has recently been challenged. We show how one can use textual economic news combined with a shallow Neural Network ... -
The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil
(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 ...