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Co-movement among oil, stock, bond, and housing markets : an analysis of U.S., Asian, and European economies
Yunus, Nafeesa - In: International review of finance : the official journal … 23 (2023) 2, pp. 393-436
Persistent link: https://www.econbiz.de/10014326307
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Macroeconomic effects of oil price shocks on an emerging market economy
Souza, Rodrigo da Silva; Mattos, Leonardo Bornacki de - In: Economic change & restructuring 56 (2023) 2, pp. 803-824
Persistent link: https://www.econbiz.de/10014252317
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Country-specific oil supply shocks and the global economy : a counterfactual analysis
Mohaddes, Kamiar; Pesaran, M. Hashem - 2015
the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …
Persistent link: https://www.econbiz.de/10010528313
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Oil Price Shocks and Monetary Policy in a Data-Rich Environment
Aastveit, Knut Are - 2013
This paper examines the impact of different types of oil price shocks on the U.S. economy, using a factor-augmented VAR (FAVAR) approach. The results indicate that when examining the effects of oil price shocks, it is important to account for the interaction between the oil market and the...
Persistent link: https://www.econbiz.de/10013081472
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Transitory and Permanent Shocks in the Global Market for Crude Oil
Rebei, Nooman - 2020
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...
Persistent link: https://www.econbiz.de/10012836533
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The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
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Identifying oil supply news shocks and their effects on the global oil market
Thomas, Arthur; Moussa, Zakaria - 2021
supply shock has only a limited effect on oil price. Finally, a news shock regarding oil supply shortfalls has macroeconomic …
Persistent link: https://www.econbiz.de/10013215283
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Refining the workhorse oil market model
Zhou, Xiaoqing - 2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336
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Global financial markets and oil price shocks in real time
Venditti, Fabrizio; Veronese, Giovanni - 2020
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10012299083
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Much ado about nothing? : the shale oil revolution and the global supply curve
Foroni, Claudia; Stracca, Livio - 2019
We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la Stackelberg. We find that the supply...
Persistent link: https://www.econbiz.de/10012059007