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The impact of geopolitical risk on stock returns : evidence from inter-Korea geopolitics

Jung, Seungho; Lee, Jongmin; Lee, Seohyun - 2021

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Persistent link: https://www.econbiz.de/10012796347

Is fiscal policy procyclical in developing oil-producing countries?

Erbil, Nese - 2011

Persistent link: https://www.econbiz.de/10009424867

A barrel of oil or a bottle of wine : how do global growth dynamics affect commodity prices?

Cevik, Serhan; Sedik, Tahsin Saadi - 2010

Persistent link: https://www.econbiz.de/10009488688

The U.S. oil supply revolution and the global economy

Mohaddes, Kamiar; Raissi, Mehdi - 2015

This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...

Persistent link: https://www.econbiz.de/10011445835

The differential effects of oil demand and supply shocks on the global economy

Cashin, Paul A.; Mohaddes, Kamiar; Raissi, Maziar; … - 2012

We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic...

Persistent link: https://www.econbiz.de/10012671603

Oil prices and the global economy : is it different this time around?

Mohaddes, Kamiar; Pesaran, M. Hashem - 2016

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the United States and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to...

Persistent link: https://www.econbiz.de/10011715551

Transitory and permanent shocks in the global market for crude oil

Rebei, Nooman; Sbia, Rashid - 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/10012251290

Granger predictability of oil prices after the Great Recession

Benk, Szilárd; Gillman, Max - 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/10012154675

Oil prices and inflation dynamics : evidence from advanced and developing economies

Choi, Sangyup; Furceri, Davide; Loungani, Prakash; … - 2017

We study the impact of fluctuations in global oil prices on domestic inflation using an unbalanced panel of 72 advanced and developing economies over the period from 1970 to 2015. We find that a 10 percent increase in global oil inflation increases, on average, domestic inflation by about 0.4...

Persistent link: https://www.econbiz.de/10011742791

Estimating fiscal multipliers with correlated heterogeneity

Kitsios, Emmanouil; Patnam, Manasa - 2016

We estimate the average fiscal multiplier, allowing multipliers to be heterogeneous across countries or over time and correlated with the size of government spending. We demonstrate that this form of nonseparable unobserved heterogeneity is empirically relevant and address it by estimating a...

Persistent link: https://www.econbiz.de/10011705082

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