The role of oil prices on the Russian business cycle

Tutkimustuotos: ArtikkelijulkaisuArtikkeliTieteellinenvertaisarvioitu

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We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to be the most powerful predictor of future recessions. Overall, the best in-sample fit is found using a model including the term spread and the oil price variable as predictors. The pseudo out-of-sample forecasts confirm the findings.
Alkuperäiskielienglanti
LehtiResearch in International Business and Finance
Vuosikerta50
Sivut70-78
Sivumäärä9
ISSN0275-5319
DOI - pysyväislinkit
TilaJulkaistu - 27 huhtikuuta 2019
OKM-julkaisutyyppiA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä, vertaisarvioitu

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abstract = "We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to be the most powerful predictor of future recessions. Overall, the best in-sample fit is found using a model including the term spread and the oil price variable as predictors. The pseudo out-of-sample forecasts confirm the findings.",
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The role of oil prices on the Russian business cycle. / Pönkä, Antti Harri Miikka; Zheng, Yi.

julkaisussa: Research in International Business and Finance, Vuosikerta 50, 27.04.2019, s. 70-78.

Tutkimustuotos: ArtikkelijulkaisuArtikkeliTieteellinenvertaisarvioitu

TY - JOUR

T1 - The role of oil prices on the Russian business cycle

AU - Pönkä, Antti Harri Miikka

AU - Zheng, Yi

PY - 2019/4/27

Y1 - 2019/4/27

N2 - We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to be the most powerful predictor of future recessions. Overall, the best in-sample fit is found using a model including the term spread and the oil price variable as predictors. The pseudo out-of-sample forecasts confirm the findings.

AB - We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to be the most powerful predictor of future recessions. Overall, the best in-sample fit is found using a model including the term spread and the oil price variable as predictors. The pseudo out-of-sample forecasts confirm the findings.

KW - 511 Economics

U2 - 10.1016/j.ribaf.2019.04.011

DO - 10.1016/j.ribaf.2019.04.011

M3 - Article

VL - 50

SP - 70

EP - 78

JO - Research in International Business and Finance

JF - Research in International Business and Finance

SN - 0275-5319

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