fDMA (version 2.2.8)

crudeoil: 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.

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