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Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts

McCarthy, Joseph - 2014

We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily prices of crude oil futures and daily S&P500 futures closing prices over the past several decades. We investigate contemporaneous and lag-lead relationships in levels and returns....

Persistent link: https://www.econbiz.de/10013055630

Oil prices and African stock markets co-movement : a time and frequency analysis

Gourène, Grakolet Arnold Zamereith; Mendy, Pierre - In: Journal of African trade : official journal of the … 5 (2018) 1/2, pp. 55-67

This paper examines the co-movement between OPEC (Organization of Petroleum Exporting Countries) oil prices and the six largest African stock markets. We used wavelet coherence to analyze the evolution of this relationship both in time and by frequency. Our results show that the co-movement...

Persistent link: https://www.econbiz.de/10011956846

Price Discovery in Crude Oil Prices

Kim, Cherl-Hyun - 2012

I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

Persistent link: https://www.econbiz.de/10013114634

Oil price fluctuations and economic growth : the case of MENA countries

Abdelsalam, Mamdouh Abdelmoula Mohamed - In: Review of economics and political science : REPS 8 (2023) 5, pp. 353-379

Purpose - This paper aims to explore the extreme effect of crude oil price fluctuations and its volatility on the …. Findings - The paper can summarize results as following: changes in oil price and its volatility have an opposite effect for … each oil-export and oil-import countries; for the former, changes in oil prices have a positive impact but the volatility a …

Persistent link: https://www.econbiz.de/10014444687

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 volatility of metals, allowing for the asymmetric responses. We use daily …

Persistent link: https://www.econbiz.de/10011327443

Fiscal sustainability in the presence of structural breaks : does overconfidence on resource exports hurt government's ability to finance debt? ; evidence from Nigeria

Alhaji Jibrilla, Aliyu - In: Cogent economics & finance 4 (2016) 1, pp. 1-27

The sustainability of the Nigerian fiscal deficit along with the role of the dynamics of government revenues and spending in adjusting the size of the deficit is examined using annual data from 1961 to 2014. After allowing for structural breaks, the study finds evidence of a cointegration...

Persistent link: https://www.econbiz.de/10011487675

The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices

Behmiri, Niaz - 2015

Persistent link: https://www.econbiz.de/10013015934

Impact of Crude Oil Price Volatility on World Equity Markets Behavior

Kumar, Rakesh - 2016

Persistent link: https://www.econbiz.de/10013002318

External capital structures and oil price volatility

Burger, John D.; Rebucci, Alessandro; Warnock, Francis E.; … - 2010

This paper assesses the extent to which a country s external capital structure can aid in mitigating the macroeconomic impact of oil price shocks. Two Caribbean economies highly vulnerable to oil price shocks are considered: an oil importer (Jamaica) and an oil exporter (Trinidad and Tobago)....

Persistent link: https://www.econbiz.de/10010247919

Oil Volatility and the Option Value of Waiting : An Analysis of the G-7

Bredin, Don - 2011

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay production and investment....

Persistent link: https://www.econbiz.de/10013133512

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