This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01–2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012)...

The transportation sector is a major user of oil-based energy. Even as oil prices continue to fluctuate greatly, the impact of oil price changes on transportation firms has heretofore not been adequately examined. This paper fills this gap, documenting important new findings based on analysis of...

This paper analyses the impact of oil price shocks on both the GDP growth and on inflation in the economy of Spain and its seventeen regions. The Qu and Perron (2007) and the Bai and Perron (1998, 2003a and 2003b) methods identify different periods across the sample. Evidence of a diminishing...

Applying sector stock prices and oil prices in 1991:01–2009:05 from the G7 countries we find oil price shocks do not significantly impact the composite index in each country. However, stock price changes in Germany, the UK and the US were found to lead oil price changes.

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return...

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural VAR approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South Africa, stock returns...

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150years (1859:10–2013:12) and applies a predictive regression model that accommodates three salient...

We reconsider the conclusions about the importance of oil demand shocks and the unimportance of supply shocks reported by Kilian (2009). We investigate whether the proxy for worldwide real economic activity, dry bulk maritime freight costs, represents anything more than transportation costs by...

Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a...

This paper estimates the climate sensitivity of electricity demand in Delhi using daily data on electricity demand and apparent temperature for the period 2000–09. The study adopts a semi-parametric variable coefficient model in order to investigate the impact of climatic factors on...