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The Determinants of Crude Oil Prices: Evidence from ARDL and Nonlinear ARDL Approaches
Salem, Leila Ben; Nouira, Ridha; Jeguirim, Khaled; … - 2022
lag (ARDL) approach is applied to daily series spanning the period from January 2, 2003, to May 24, 2021, to analyze long …-run relationships and short-run dynamics. The paper also focuses on the asymmetric effects of covariates and a nonlinear ARDL (NARDL …) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10013470309
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The Determinants of Crude Oil Prices : Evidence from ARDL and Nonlinear ARDL Approaches
Salem, Leila Ben; Nouira, Ridha; Jeguirim, Khaled; … - 2022
lag (ARDL) approach is applied to daily series spanning the period from January 2, 2003, to May 24, 2021, to analyze long …-run relationships and short-run dynamics. The paper also focuses on the asymmetric effects of covariates and a nonlinear ARDL (NARDL …) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10014242790
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How Do Oil Prices Affect the GDP and Its Components? New Evidence from a Time-Varying Threshold Model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014574276
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On the Impact of Oil Prices on Sectoral Inflation: Evidence from World's Top Oil Exporters and Importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014469478
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Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
This paper investigates the co-movements of oil prices and the exchange rates of 10 top oil-importing and oil-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we adopted the recent DCC-GARCH-CONNECTEDNESS approach...
Persistent link: https://www.econbiz.de/10014534437
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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10013211113
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The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
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Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012892101
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10012822493
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Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?
Kilian, Lutz - 2019
We study the efficacy of releases from the U.S. Strategic Petroleum Reserve (SPR) within the context of fully specified models of the global oil market that explicitly allow for storage demand as well as unanticipated changes in the SPR. Using novel identifying strategies and evaluation methods,...
Persistent link: https://www.econbiz.de/10012865918