crudeoil: Crude Oil Data.

In fDMA: Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes

Crude Oil Data.

Description

Selected data from oil market.

Usage

data(crudeoil)

Format

crudeoil is xts object such that

• crudeoil$p_oil – average spot price of crude oil (Brent, Dubai and WTI) in USD per barrel

• crudeoil$prod – U.S. field production of crude oil in thousand barrels

• crudeoil$cons – U.S. product supplied of crude oil and petroleum products in thousand barrels

• crudeoil$econ_act – Index of Global Real Economic Activity

• crudeoil$r – U.S. 3-month treasury bill secondary market rate in %

• crudeoil$stocks – U.S. share prices index, 2015=100

• crudeoil$risk – Geopolitical risk (GPR) index

• crudeoil$ex_rate – U.S. real effective exchange rate index (broad basket), 2020=100

Details

The data are in monthly frequency. They cover the period between Jan, 1998 and Oct, 2024.

Source

The data are provided by Bank for International Settlements, Board of Governors of the Federal Reserve System, Caldara and Iacoviello (2022), Federal Reserve Bank of Dallas, OECD, U.S. Energy Information Administration and World Bank.

https://www.bis.org

https://www.dallasfed.org

https://www.eia.gov

https://www.federalreserve.gov

https://www.matteoiacoviello.com/gpr.htm

https://www.oecd.org/en.html

https://www.worldbank.org/ext/en/home

References

Bank for International Settlements, 2025. Effective exchange rates, BIS WS_EER 1.0 (data set). https://data.bis.org/topics/EER/BIS%2CWS_EER%2C1.0/M.R.B.US

Board of Governors of the Federal Reserve System, 2025. Selected interest rates. https://www.federalreserve.gov/releases/h15/

Caldara, D., Iacoviello, M., 2022. Measuring geopolitical risk. American Economic Review 112, 1194–1225.

Federal Reserve Bank of Dallas, 2025. Index of global real economic activity. https://www.dallasfed.org/research/igrea

Kilian, L., 2009. Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review 99, 1053–1069.

OECD, 2025. Share prices. https://www.oecd.org/en/data/indicators/share-prices.html

U.S. Energy Information Administration, 2025. Petroleum /& other liquids. https://www.eia.gov/petroleum/data.php

World Bank, 2025. Commodity markets. https://www.worldbank.org/en/research/commodity-markets

Examples

data(crudeoil)
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- drivers[-1,]
ld.drivers[,c(4,6)] <- (diff(drivers[,c(4,6)]))[-1,]
ld.drivers[,c(1:2,5,7)] <- (diff(log(drivers[,c(1:2,5,7)])))[-1,]
ld.drivers[,c(3,6)] <- ld.drivers[,c(3,6)]/100

m <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.99,initvar=1,model="dma")

fDMA documentation built on April 4, 2025, 5:16 a.m.