• سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
mojtaba rostami; Alireza Najjarpour
Abstract
The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets. Oil prices are changing course depending on economic conditions, which is why it is so volatile. The knowledge of researchers, ...
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The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets. Oil prices are changing course depending on economic conditions, which is why it is so volatile. The knowledge of researchers, policymakers, and stakeholders about the impact of crises on the oil market provides better control over its negative consequences. Studies show that as a result of various crises, the Volatility Persistence of the oil market is very high. Therefore, it makes sense to consider the hypothesis of a unit root in the Volatility shocks of this market. In the present study, the long-term Volatility Persistence shocks due to the Covid-19 epidemic crisis in the Brent and WTI oil markets, which are the two criteria for determining global oil prices, are investigated using a test proposed by Lee and Yu (2010). The results of this study indicate the existence of a unit root in oil market turbulence. Therefore, the oil market and the economic climate are long-term affected by the effects of this crisis. This can have a significant impact on the revenues of exporting countries and investors in the crude oil sector. Thus, market players and governments need to assess the consequences of this crisis more carefully
Hossein Yadegari; Teymour Mohamadi; Hamid Amadeh; abdorrasoul ghasemi,; hamidreza mostafaee
Abstract
The characteristics of crude oil and the factors affecting the price of this energy carrier have made its price forecast always considered by researchers, oil market participants, governments, and policymakers. Because the price of crude oil is affected by many factors, ongoing studies should be done ...
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The characteristics of crude oil and the factors affecting the price of this energy carrier have made its price forecast always considered by researchers, oil market participants, governments, and policymakers. Because the price of crude oil is affected by many factors, ongoing studies should be done to make more accurate and reliable estimates over time. In this paper, a combination of GM (1,1) and ARIMA models and a hybrid model (GM-ARIMA) for crude oil price forecasting is proposed. The Brent crude oil price data for seasonal (2015Q1-2021Q2), monthly(2020m3-2020m12), and weekly(w12-2020: w16-2021) periods were used to examine this method. The results show that based on the evaluation criteria of mean absolute error percentage (MAPE) and square mean square error (RMSE), the evaluation criteria of MAPE and RMSE in the combined GM-ARIMA model are always lower than the GM and ARIMA models alone. Therefore, the GM-ARIMA hybrid model will be able to predict more accurately than the GM and ARIMA models. Therefore, for more accurate prediction, the GM-ARIMA hybrid model can be used instead of single models.
Teimour Mohamadi; Abdol Rasoul Ghasemi; Amir Nekounam
Abstract
This paper examines the response of the natural gas price to the crude oil price in regional markets.The price of natural gas varies in regional markets, mostly follow the crude oil price. Natural gas and crude oil are substitute in consumption and also complement in production. Economic variables such ...
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This paper examines the response of the natural gas price to the crude oil price in regional markets.The price of natural gas varies in regional markets, mostly follow the crude oil price. Natural gas and crude oil are substitute in consumption and also complement in production. Economic variables such as the crude oil and natural gas prices have inflammations and severe fluctuations over time that conventional linear regressions do not fit these fluctuations. The regime Switching Model provides a flexible and dynamic framework for nonlinear models and sudden reciprocal transfers. In this paper, by using the Markov switching model framework, the impact of the crude oil price on natural gas price has been measured during the period of the January 1992 to June 2017. The results show that in some regimes the price of crude oil has a direct effect on the price of natural gas and in some other ones has a reversible effect. In Europe, the first lag of crude oil price has a reverse effect for 1 month, and 18 months of direct effect, and the second lag of oil price in both regimes has a direct effect on the natural gas price. However for Asia in both regimes, the impact of oil price on natural gas price is straight and the prices are in the first regime for 28 months and 26 months under the second regime.
