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Transitory and Permanent Shocks in the Global Market for Crude Oil
Rebei, Nooman - 2020
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...
Persistent link: https://www.econbiz.de/10012836533
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Oil Prices and the Global Economy
Arezki, Rabah - 2017
alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of …
Persistent link: https://www.econbiz.de/10012960587
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Granger Predictability of Oil Prices after the Great Recession
Benk, Szilard - 2019
Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...
Persistent link: https://www.econbiz.de/10012858386
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Oil Price Volatility and the Role of Speculation
Beidas-Strom, Samya - 2015
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign … model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and … the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short …
Persistent link: https://www.econbiz.de/10013028690
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Coping with Falling Oil Prices : The Different Fortunes of African Banks
Gueye, Cheikh Anta - 2019
This paper studies the impact of declining oil prices on banks in sub-Saharan African oil-exporting countries. Results indicate that banks respond differently to an oil shock depending on their ownership: (i) domestic banks are the most adversely impacted and experience a deterioration in asset...
Persistent link: https://www.econbiz.de/10012866905
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An Analysis of OPEC's Strategic Actions, US Shale Growth and the 2014 Oil Price Crash
Behar, Alberto - 2016
In November 2014, OPEC announced a new strategy geared towards improving its market share. Oil-market analysts interpreted this as an attempt to squeeze higher-cost producers including US shale oil out of the market. Over the next year, crude oil prices crashed, with large repercussions for the...
Persistent link: https://www.econbiz.de/10012977842
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Foreign Exchange Intervention and the Australian Dollar : Has it Mattered?
Edison, Hali; Cashin, Paul - 2021
(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …
Persistent link: https://www.econbiz.de/10013211943
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Ben Cheikh, Nidhaleddine - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012913874
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Optimal Oil Production and the World Supply of Oil
Aleksandrov, Nikolay A. - 2013
strategies, world oil prices would be higher but more stable …
Persistent link: https://www.econbiz.de/10013086007
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Missing Link : Volatility and the Debt Intolerance Paradox
Catão, Luis - 2006
theoretical and empirical evidence to show that differences in underlying macroeconomic volatility are key. While volatility … higher default risk that volatility engenders …
Persistent link: https://www.econbiz.de/10012783212