Similar Search Results

The U.S. Oil Supply Revolution and the Global Economy

Mohaddes, Kamiar - 2017

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/10012970152

The U.S. Oil Supply Revolution and the Global Economy

Mohaddes, Kamiar - 2016

Persistent link: https://www.econbiz.de/10012998782

Crude oil price shocks and stock returns : evidence from Turkish stock market under global liquidity conditions

Berk, Istemi; Aydogan, Berna - 2012

tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a … liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance … Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of …

Persistent link: https://www.econbiz.de/10009743922

Measuring Global Macroeconomic Uncertainty

Moramarco, Graziano - 2021

This paper provides a new index of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The index measures the dispersion of forecasts resulting from parameter uncertainty in the GVAR. Over the period...

Persistent link: https://www.econbiz.de/10013226308

Measuring Global Macroeconomic Uncertainty

Moramarco, Graziano - 2020

This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...

Persistent link: https://www.econbiz.de/10012831182

Measuring global macroeconomic uncertainty

Moramarco, Graziano - 2020

Persistent link: https://www.econbiz.de/10012233069

Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers

Moramarco, Graziano - In: Econometrics : open access journal 11 (2023) 1, pp. 1-29

We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...

Persistent link: https://www.econbiz.de/10014281497

Macro wine in financial skins : the Oil-FX interdependence

Weber, Enzo (contributor) - 2008

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature takes a financial markets perspective using daily data. The fast-running simultaneousimpacts are...

Persistent link: https://www.econbiz.de/10003727689

Dynamic spillovers of oil price shocks and policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - 2014

Persistent link: https://www.econbiz.de/10010360804

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...

Persistent link: https://www.econbiz.de/10013066427

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