Large Bayesian vector autoregression (BVAR) is a successful tool for forecasting macroeconomic variables, but the benefits to predict crude oil prices are rarely discussed. In this paper, we test the…

In this paper, we provide direct evidence for an increasingly critical role of China in the world oil markets. Specifically, our empirical results confirm that the influence of China's oil demand on…

This paper evaluates the real-time forecast performance of alternative Bayesian autoregressive (AR) and vector autoregressive (VAR) models for the Australian macroeconomy. To this end, we construct an…

This paper investigates the uncertainty-dependent and sign-dependent effects of the oil market fundamental shocks, namely supply, aggregate demand and oil-specific demand shocks. We do so by first…

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…

Distinctive regional characteristics in different natural gas markets have increased the difficulty in accurately forecasting natural gas prices. Moreover, the natural gas markets have experienced…

This paper investigates the uncertainty-dependent and sign-dependent effects of the oil market fundamental shocks, namely supply, aggregate demand and oil-specific demand shocks. We do so by first…

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…

This paper provides new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks. We find that results based on a smooth transition…

Over the past three decades, the US natural gas market has witnessed significant changes. Utilizing a standard Bayesian model comparison method, this paper formally determines four regimes existing in…