crudeoil {fDMA} | R Documentation |
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.federalreserve.gov
https://www.matteoiacoviello.com/gpr.htm
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")