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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

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Cited by:

  1. Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
  2. Imran Shah, 2012. "Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies," Bristol Economics Discussion Papers 12/626, School of Economics, University of Bristol, UK.
  3. Erdemalp Ozden & Didem Guleryuz, 2022. "Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 347-373, June.
  4. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
  5. Ben Salem, Leila & Nouira, Ridha & Saafi, Sami & Rault, Christophe, 2024. "How do oil prices affect the GDP and its components? New evidence from a time-varying threshold model," Energy Policy, Elsevier, vol. 190(C).
  6. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
  7. Valadkhani, Abbas & Ghazanfari, Arezoo & Nguyen, Jeremy & Moradi-Motlagh, Amir, 2021. "The asymmetric effects of COVID19 on wholesale fuel prices in Australia," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 255-266.
  8. Awartani, Basel & Maghyereh, Aktham & Ayton, Julie, 2020. "Oil price changes and industrial output in the MENA region: Nonlinearities and asymmetries," Energy, Elsevier, vol. 196(C).
  9. Salisu, Afees A. & Ademuyiwa, Idris & Isah, Kazeem O., 2018. "Revisiting the forecasting accuracy of Phillips curve: The role of oil price," Energy Economics, Elsevier, vol. 70(C), pages 334-356.
  10. Soliman, Alaa M. & Lau, Chi Keung & Cai, Yifei & Sarker, Provash Kumer & Dastgir, Shabbir, 2023. "Asymmetric Effects of Energy Inflation, Agri-inflation and CPI on Agricultural Output: Evidence from NARDL and SVAR Models for the UK," Energy Economics, Elsevier, vol. 126(C).
  11. Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023. "Commodity price uncertainty as a leading indicator of economic activity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
  12. Salisu, Afees A. & Ndako, Umar B., 2018. "Modelling stock price–exchange rate nexus in OECD countries: A new perspective," Economic Modelling, Elsevier, vol. 74(C), pages 105-123.
  13. Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
  14. Suliman Zakaria S. Abdalla, 2014. "The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance," Working Papers 887, Economic Research Forum, revised Dec 2014.
  15. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
  16. Rajesh H. Acharya & Anver C. Sadath, 2018. "Revisiting the relationship between oil price and macro economy: Evidence from India," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2018(1), pages 173-190.
  17. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
  18. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
  19. Riggi, Marianna & Venditti, Fabrizio, 2015. "The time varying effect of oil price shocks on euro-area exports," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 75-94.
  20. Pal, Debdatta & Mitra, Subrata Kumar, 2015. "Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model," Economic Modelling, Elsevier, vol. 51(C), pages 436-443.
  21. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
  22. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
  23. Sinan Q. Salih & Intisar Alakili & Ufuk Beyaztas & Shamsuddin Shahid & Zaher Mundher Yaseen, 2021. "Prediction of dissolved oxygen, biochemical oxygen demand, and chemical oxygen demand using hydrometeorological variables: case study of Selangor River, Malaysia," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(5), pages 8027-8046, May.
  24. Gupta, Rangan & Wohar, Mark, 2017. "Forecasting oil and stock returns with a Qual VAR using over 150years off data," Energy Economics, Elsevier, vol. 62(C), pages 181-186.
  25. Kim, Myung Suk, 2018. "Impacts of supply and demand factors on declining oil prices," Energy, Elsevier, vol. 155(C), pages 1059-1065.
  26. Nima Nonejad, 2022. "New Findings Regarding the Out-of-Sample Predictive Impact of the Price of Crude Oil on the United States Industrial Production," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 1-35, March.
  27. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
  28. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
  29. Wang, Jia & Wang, Xinyi & Wang, Xu, 2024. "International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  30. Nima Nonejad, 2021. "Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 769-791, August.
  31. Maheu, John M. & Song, Yong & Yang, Qiao, 2020. "Oil price shocks and economic growth: The volatility link," International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
  32. Noguera, José, 2017. "The Seven Sisters versus OPEC: Solving the mystery of the petroleum market structure," Energy Economics, Elsevier, vol. 64(C), pages 298-305.
  33. Nonejad, Nima, 2019. "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  34. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
  35. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
  36. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
  37. An, Lian & Jin, Xiaoze & Ren, Xiaomei, 2014. "Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach," Energy Economics, Elsevier, vol. 45(C), pages 217-228.
  38. Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance 1816, University of St. Gallen, School of Finance.
  39. Pozo, Veronica F. & Bachmeier, Lance J. & Schroeder, Ted C., 2021. "Are there price asymmetries in the U.S. beef market?," Journal of Commodity Markets, Elsevier, vol. 21(C).
  40. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
  41. Badeeb, Ramez Abubakr & Szulczyk, Kenneth R. & Lean, Hooi Hooi, 2021. "Asymmetries in the effect of oil rent shocks on economic growth: A sectoral analysis from the perspective of the oil curse," Resources Policy, Elsevier, vol. 74(C).
  42. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
  43. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
  44. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
  45. Agboola, Emmanuel & Chowdhury, Rosen & Yang, Bo, 2024. "Oil price fluctuations and their impact on oil-exporting emerging economies," Economic Modelling, Elsevier, vol. 132(C).
  46. Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021. "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, vol. 102(C).
  47. Lutz Kilian & Robert J. Vigfusson, 2017. "The Role of Oil Price Shocks in Causing U.S. Recessions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1747-1776, December.
  48. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
  49. Padhan, Hemachandra & Kocoglu, Mustafa & Tiwari, Aviral Kumar & Haouas, Ilham, 2024. "Economic activities, dry bulk freight, and economic policy uncertainties as drivers of oil prices: A tail-behaviour time-varying causality perspective," Energy Economics, Elsevier, vol. 138(C).
  50. Ozge Kandemir Kocaaslan, 2021. "Are the responses of output and investment to oil price shocks asymmetric?: The case of an oil-importing small open economy," Empirical Economics, Springer, vol. 61(5), pages 2501-2516, November.
  51. Roach, Travis, 2015. "Hidden regimes and the demand for carbon dioxide from motor-gasoline," Energy Economics, Elsevier, vol. 52(PB), pages 306-315.
  52. Jeremy J. Nalewaik, 2015. "Regime-Switching Models for Estimating Inflation Uncertainty," Finance and Economics Discussion Series 2015-93, Board of Governors of the Federal Reserve System (U.S.).
  53. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
  54. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
  55. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
  56. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
  57. Cheng, Zishu & Li, Mingchen & Sun, Yuying & Hong, Yongmiao & Wang, Shouyang, 2024. "Climate change and crude oil prices: An interval forecast model with interval-valued textual data," Energy Economics, Elsevier, vol. 134(C).
  58. Lu Wang & Feng Ma & Guoshan Liu & Qiaoqi Lang, 2023. "Do extreme shocks help forecast oil price volatility? The augmented GARCH‐MIDAS approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2056-2073, April.
  59. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
  60. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
  61. Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
  62. Umar, Zaghum & Mokni, Khaled & Manel, Youssef & Gubareva, Mariya, 2024. "Dynamic spillover between oil price shocks and technology stock indices: A country level analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
  63. Pal, Debdatta & Mitra, Subrata Kumar, 2019. "Asymmetric oil price transmission to the purchasing power of the U.S. dollar: A multiple threshold NARDL modelling approach," Resources Policy, Elsevier, vol. 64(C).
  64. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
  65. Nonejad, Nima, 2020. "Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate," Economics Letters, Elsevier, vol. 186(C).
  66. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
  67. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
  68. Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
  69. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
  70. Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
  71. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
  72. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
  73. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
  74. Atems, Bebonchu & Mette, Jehu & Lin, Guoyu & Madraki, Golshan, 2023. "Estimating and forecasting the impact of nonrenewable energy prices on US renewable energy consumption," Energy Policy, Elsevier, vol. 173(C).
  75. Steven D. Baker, 2021. "The Financialization of Storable Commodities," Management Science, INFORMS, vol. 67(1), pages 471-499, January.
  76. Bergmann, Philip, 2019. "Oil price shocks and GDP growth: Do energy shares amplify causal effects?," Energy Economics, Elsevier, vol. 80(C), pages 1010-1040.
  77. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
  78. Nima Ebrahimi & Craig Pirrong, 2020. "Oil jump risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1282-1311, August.
  79. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  80. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
  81. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
  82. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
  83. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
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