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Modeling Fluctuations in the Global Demand for Commodities
Kilian, Lutz - 2018
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...
Persistent link: https://www.econbiz.de/10012930077
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Robays, Ine Van - CESifo - 2012
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10010575442
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10010877722
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: Spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of …
Persistent link: https://www.econbiz.de/10013095613
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Oil Prices and Stock Markets: What Drives what in the Gulf Corporation Council Countries?
Arouri, Mohamed El Hedi; Rault, Christophe - CESifo - 2010
In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...
Persistent link: https://www.econbiz.de/10008534001
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On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries
Arouri, Mohamed El hedi; Rault, Christophe - CESifo - 2009
This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market...
Persistent link: https://www.econbiz.de/10005034640
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Cross-Country Differences in the Effects of Oil Shocks
Peersman, Gert; Robays, Ine Van - CESifo - 2010
We compare the economic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in their economy. We find considerably different effects across countries, which crucially...
Persistent link: https://www.econbiz.de/10008833921
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065379
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What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies
Ayala, Diana - 2017
This paper studies the determinants of shifts in debt composition among emerging market non-financial corporates. We show that the determinants of bond market access in EMs vary with global cyclical conditions and across local and foreign currency markets. We find that the role for institutions...
Persistent link: https://www.econbiz.de/10012960099
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The International Transmission of Monetary Policy
Buch, Claudia M. - 2018
different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U …. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries …. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into …
Persistent link: https://www.econbiz.de/10012911041