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Updated: Jul 25, 2025

Measurement of the Rheology of Crude Oil in Equilibrium with CO2 at Reservoir Conditions
Published on: June 6, 2017
The oil price-macroeconomy dependence
1Department of Economics, University of Calgary, Calgary, Canada.
Abstract:
This paper investigates the relationship between the price of oil and real output in the United States in the context of a Markov regime switching, identified, structural GARCH-in-Mean VAR model with copulas. We use the copula method to investigate the nonlinear dependence structure, as well as (upper and lower) tail dependence, between the price of oil and real output growth, and Markov regime switching to account for changing oil price dynamics over the sample period. We find an asymmetric negative dependence structure between oil price and output growth shocks and that oil price uncertainty has a negative and statistically significant effect on real output growth.
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