| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Energy Economics |
| Publisher | Edward Elgar Publishing |
| Publication status | Accepted for publication - 24 Jul 2023 |
Abstract
This entry describes and motivates the mainstream non-linear oil price transformations introduced in the empirical oil economics and oil finance literatures. Such measures are commonly used as censored regressors in models to test whether only certain oil price movements matter to the economy and stock market. Then, the findings of some prominent studies that have adopted these non-linear measures in regression modelling are summarised. Subsequently, the main estimation problem that arise with regressions that make use of censored regressors are documented. Finally, coverage of some innovative directions that the non-linear oil price measures have taken in recent research are provided.
Keywords
- censored regressor
- contagion
- non-linear measure
- oil price
- shock
- transformation