In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set the volatility of world market excess return as the...

Liberalization of energy sector and the ensuing creation of new markets for carbon emissions have increasingly triggered a need for understanding the volatility and correlation structure between carbon, energy and financial markets. This paper documents the existence of structural changes in...

In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...

This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...

This research estimated the smooth transition autoregressive model with exogenous variables to evaluate the non-linearity of West Texas Intermediate (WTI) crude oil price from the exchange rate of US dollar and WTI crude oil production. The sample period used in this research was the weekly data...

Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...

The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or inequality and growth, reports widely divergent (parametric and non-parametric) empirical findings. We explain why lack of identification lies at the root of these differences. To...

This paper presents the results from our investigation of the per-capita, long-term relation between carbon dioxide emissions and gross domestic product (GDP) for the world, obtained with the use of a new, flexible estimator. Consistent with simple economic growth models, we find that regional,...

This paper casts doubt on empirical results based on panel estimations of an "inverted-U" relationship between per capita GDP and pollution. Using a new data set for OECD countries on carbon dioxide emissions for the period 1960-1997, we find that the crucial assumption of homogeneity across...

This paper casts doubt on empirical results based on panel estimations of an inverted-U relationship between per capita GDP and pollution. Using a new data set for OECD countries on carbon dioxide emissions for the period 1960-1997, we find that the crucial assumption of homogeneity across...