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Country-specific oil supply shocks and the global economy : a counterfactual analysis
Mohaddes, Kamiar; Pesaran, M. Hashem - 2015
the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …
Persistent link: https://www.econbiz.de/10010528313
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Oil rents shocks and inequality in Iran
Farzanegan, Mohammad Reza; Krieger, Tim - 2018 - This version: January 2018
and statistically significant response of income inequality to oil rent booms within 4 years of the shock. In addition …
Persistent link: https://www.econbiz.de/10011793996
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Macroeconomic uncertainty and the impact of oil shocks
Van Robays, Ine - 2012
demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …
Persistent link: https://www.econbiz.de/10009621702
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A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020
factors from trade-related spillovers, and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q … observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …
Persistent link: https://www.econbiz.de/10012293790
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COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross-country interdependencies
Milani, Fabio - 2020
This paper studies the social and economic responses to the COVID-19 pandemic in a large sample of countries. I stress, in particular, the importance of countries' interconnections to un-derstand the spread of the virus. I estimate a Global VAR model and exploit a dataset on existing social...
Persistent link: https://www.econbiz.de/10012263745
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Identifying global and national output and fiscal policy shocks using a GVAR
Chudik, Alexander; Pesaran, M. Hashem; Mohaddes, Kamiar - 2019
due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock. …
Persistent link: https://www.econbiz.de/10011956353
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Energy price dynamics in the face of uncertainty shocks and the role of exchange rate regimes : a global cross-country analysis
Afonso, António; Alves, José; Jalles, João Tovar; … - 2024
This study examines the effects of geopolitical risk and global uncertainty on energy prices, conditioned by different exchange rate regimes, for 185 economies over the period 1980-2023. The central question is how uncertainty impacts energy prices and whether exchange rate flexibility mediates...
Persistent link: https://www.econbiz.de/10015074620
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The econometrics of oil market VAR Models
Kilian, Lutz; Zhou, Xiaoqing - 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/10012174841
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Structural interpretation of vector autoregressions with incomplete information : revisiting the role of oil supply and demand shocks : comment
Kilian, Lutz; Zhou, Xiaoqing - 2018
Recently, Baumeister and Hamilton (henceforth: BH) have argued that existing studies of the global oil market fail to account for uncertainty about their identifying assumptions. They recommend an alternative econometric approach intended to address this concern by formulating priors on the...
Persistent link: https://www.econbiz.de/10011882307
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Structural interpretation of vector autoregressions with incomplete identification : revisiting the role of oil supply and demand shocks
Baumeister, Christiane; Hamilton, James D. - 2017 - Revised December 21, 2017
Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...
Persistent link: https://www.econbiz.de/10011782040