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Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries
Manera, Matteo; Cologni, Alessandro - 2013
inflation presumably caused by oil price increases. In this paper a structural cointegrated VAR model has been considered for … to fight inflation. In turn, increases in interest rates are transmitted to real economy by reducing output growth and … the inflation rate …
Persistent link: https://www.econbiz.de/10014061476
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Energy shocks in the Euro area : disentangling the pass-through from oil and gas prices to inflation
Casoli, Chiara; Manera, Matteo; Valenti, Daniele - 2022
and inflation dynamics in Europe. Specifically, we include in our specification two separate energy markets (oil and … natural gas) and two target macroeconomic variables, measuring inflation expectations and the realized headline inflation. Our … results demonstrate that, during the last year, inflation in the Euro area is more affected from energy price shocks …
Persistent link: https://www.econbiz.de/10013488601
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Energy shocks in the Euro area : disentangling the pass-through from oil and gas prices to inflation
Casoli, Chiara; Manera, Matteo; Valenti, Daniele - 2022
and inflation dynamics in Europe. Specifically, we include in our specification two separate energy markets (oil and … natural gas) and two target macroeconomic variables, measuring inflation expectations and the realized headline inflation. Our … results demonstrate that, during the last year, inflation in the Euro area is more affected from energy price shocks …
Persistent link: https://www.econbiz.de/10014264861
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Global oil market and the US stock returns
Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015
This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...
Persistent link: https://www.econbiz.de/10011391816
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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011327443
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The impacts of oil price shocks on stock market volatility : evidence from the G7 countries
Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10011438638
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How is volatility in commodity markets linked to oil price shocks?
Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...
Persistent link: https://www.econbiz.de/10011438674
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How does stock market volatility react to oil shocks?
Bastianin, Andrea; Manera, Matteo - 2014
We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...
Persistent link: https://www.econbiz.de/10010476423
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How does stock market volatility react to oil price shocks?
Bastianin, Andrea; Manera, Matteo - In: Macroeconomic dynamics 22 (2018) 3, pp. 666-682
Persistent link: https://www.econbiz.de/10011916698
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Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting
Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - 2007
The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...
Persistent link: https://www.econbiz.de/10010312337