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Volatility linkages between energy and food prices : case of selected Asian countries
Taghizadeh-Hesary, Farhad; Rasoulinezhad, Ehsan; … - 2018
This study examines the linkages between energy price and food prices over the period 2000-2016 by using a Panel-VAR model in the case of eight Asian economies, namely Bangladesh, the PRC, Indonesia, India, Japan, Sri Lanka, Thailand, and Viet Nam. Our results confirm that energy price (oil...
Persistent link: https://www.econbiz.de/10011811900
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2013
Persistent link: https://www.econbiz.de/10010354373
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The determinants of crude oil prices : evidence from ARDL and nonlinear ARDL approaches
Salem, Leila Ben; Nouira, Ridha; Jeguirim, Khaled; … - 2022
lag (ARDL) approach is applied to daily series spanning the period from January 2, 2003, to May 24, 2021, to analyze long …-run relationships and short-run dynamics. The paper also focuses on the asymmetric effects of covariates and a nonlinear ARDL (NARDL …) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10013426113
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438
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European gasoline markets : price transmission asymmetries in mean and variance
Torrado, María; Escribano, Álvaro - 2020
Persistent link: https://www.econbiz.de/10012158754
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Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests
Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018
dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …
Persistent link: https://www.econbiz.de/10011897569
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Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty
Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - 2023
Persistent link: https://www.econbiz.de/10014369400
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Dynamic structure of the spot price of crude oil : does time aggregation matter?
Aghababa, Hajar; Barnett, William A. - 2016
Persistent link: https://www.econbiz.de/10011565376
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Price regulations and price adjustment dynamics : evidence from the Austrian retail fuel market
Fasoula, Evanthia; Schweikert, Karsten - 2018
After controversial public debates, fuel price regulations were implemented in Austria prohibiting fuel retailers from raising their prices more than once per day. This paper investigates whether these policy measures affected the price transmission dynamics from crude oil prices to retail fuel...
Persistent link: https://www.econbiz.de/10011842139
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Portfolio flows and exchange rate volatility : an empirical estimation for BRICS countries
Chaudhari, Dipak R.; Trivedi, Pushpa L.; Kumar, Prabhat - 2023
Persistent link: https://www.econbiz.de/10014315323