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How Does Stock Market Volatility React to Oil Shocks?
Bastianin, Andrea; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2015
We study the impact of oil price shocks on U.S. 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 … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …
Persistent link: https://www.econbiz.de/10011162062
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The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis
Yanfeng, Wei - In: Review of Economics & Finance 3 (2013) May, pp. 57-67
This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are...
Persistent link: https://www.econbiz.de/10010927782
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The causal nexus between oil prices and equity market in the U.S.: A regime switching model
Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy Economics 39 (2013) C, pp. 271-282
The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes...
Persistent link: https://www.econbiz.de/10010868722
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The Links between the Price of Oil and the Value of US Dollar
Zhang, Yi - In: International Journal of Energy Economics and Policy 3 (2013) 4, pp. 341-341
Using monthly data, this paper studies the cointegration between the real price of oil and the real effective exchange rate of US dollar allowing for structural breaks. Contrary to the conclusion from previous literature, this paper finds that the cointegration between the oil price and the...
Persistent link: https://www.econbiz.de/10010701188
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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009
A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...
Persistent link: https://www.econbiz.de/10005000442
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Moody Oil - What is Driving the Crude Oil Price?
Lechthaler, Filippo; Leinert, Lisa - CER-ETH Center of Economic Research, Department of … - 2012
The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...
Persistent link: https://www.econbiz.de/10010581036
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Causal Link between Oil Price and Uncertainty in India
Montasser, Ghassen El; Aggad, Kenza; Clark, Louise; … - Department of Economics, Faculty of Economic and … - 2014
relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy …-related economic uncertainty index as well as the stock market volatility index for India. Our results suggest that the standard … oil ETF volatility index does. Clearly, oil and India’s economic uncertainty go hand-in hand. These findings can thus be …
Persistent link: https://www.econbiz.de/10011095474
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Understanding recent oil price dynamics: A novel empirical approach
D'Ecclesia, Rita L.; Magrini, Emiliano; Montalbano, … - In: Energy Economics 46 (2014) S1, pp. 11-11
and investors. The increasing volatility of crude oil prices in the last decade has encouraged many researchers to model …
Persistent link: https://www.econbiz.de/10011115925
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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Kilian, Lutz; Vega, Clara - C.E.P.R. Discussion Papers - 2008
Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...
Persistent link: https://www.econbiz.de/10005114377
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...
Persistent link: https://www.econbiz.de/10011083435