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Oil price fluctuations and oil consuming sectors : an empirical analysis of Japan
Taghizadeh-Hesary, Farhad; Rasolinezhad, Ehsan; … - 2015
oil price volatility on each sector in Japan, the world's third-largest crude oil consumer. In order to do so, we apply a …, which led to the shutdown of nuclear power plants in Japan, because of greater reliance on oil imports, the sensitivity of … most sectors to oil price volatility declined. …
Persistent link: https://www.econbiz.de/10011305347
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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
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...
Persistent link: https://www.econbiz.de/10011794647
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Is the influence of oil prices changes on oil and gas stock prices in Nigeria symmetric or asymmetric?
Musa, Dasauki; Awolaja, Oladapo Gbenga; Jerry, Kwarbai; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-16
Overdependence on oil revenue has exposed the economy to shocks from oil price variations. In this paper, we investigated the relationship between oil price on the stock prices of oil and gas firms quoted in the Nigerian Stock Exchange market. In doing so, the ARDL and NARDL approach is applied...
Persistent link: https://www.econbiz.de/10014500416
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Oil prices and the global economy : is it different this time around?
Mohaddes, Kamiar; Pesaran, M. Hashem - 2016
The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...
Persistent link: https://www.econbiz.de/10011502542
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Moody Oil - What is Driving the Crude Oil Price?
Lechthaler, Filippo - 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/10013099330
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Speculation in the Oil Market
Juvenal, Luciana - 2012
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...
Persistent link: https://www.econbiz.de/10013107787
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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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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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The Shale Revolution, Geopolitical Risk, and Oil Price Volatility
Wang, Wenxue; Yang, Fuyu - 2018
volatility. We extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model to a structural SBT … geopolitical risk shock, the other with a simultaneous shale production shock and a geopolitical risk shock. The volatility … volatility response of oil prices to a geopolitical risk shock is higher, but the response is less correlated with the …
Persistent link: https://www.econbiz.de/10012911915
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Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks
Chang, Chia-Lin - 2009
The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …
Persistent link: https://www.econbiz.de/10013159693