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The output effects of commodity price volatility: Evidence from exporting countries

Hachula, Michael; Hoffmann, Sebastian - 2015

Empirical evidence indicates that high oil price volatility has a dampening effect on output in countries that import commodities. Many countries, however, gain important revenues from commodity exports. This paper investigates the output effects of commodity price volatility in commodity...

Persistent link: https://www.econbiz.de/10011345585

Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.

Gubler, Matthias; Hertweck, Matthias S. - 2011

This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic...

Persistent link: https://www.econbiz.de/10011390656

On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation

Conrad, Christian; Loch, Karin; Rittler, Daniel - 2012

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 which contain information on current and future economic activity are helpful predictors for...

Persistent link: https://www.econbiz.de/10011422237

The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....

Persistent link: https://www.econbiz.de/10011451161

Sources of Business Cycles in Energy Producing Economies - The case of Norway and United Kingdom

Bjørnland, Hilde Christiane - 1996

This paper analyses the sources of business cycles in economies that have an important energy producing sector. Especially, I investigate the effects of oil and gas extractions (energy booms) on the manufacturing sector, and analyse whether there is any evidence of a "Dutch disease", that is...

Persistent link: https://www.econbiz.de/10011967951

Impact of Fukushima nuclear disaster on oil-consuming sectors of Japan

Taghizadeh-Hesary, Farhad; Yoshino, Naoyuki; … - 2017

The Fukushima Daiichi nuclear disaster was an accident at the Fukushima I Nuclear Power Plant in Fukushima, Japan, which resulted primarily from the tsunami following the Tohoku earthquake on 11 March 2011, and which led to year-long nuclear shutdown in the country. During the shutdown, Japan...

Persistent link: https://www.econbiz.de/10011688682

The long- and short-run impact of oil price changes on major global economies

Heidorn, Thomas; Van Huellen, Sophie; Ruehl, C.; … - 2017

. Our approach is particularly interesting, since economic performance is not only measured by GDP, but also by equity … to macroeconomic channels, at much higher frequency than conventional GDP data. We are able to present robust estimates …

Persistent link: https://www.econbiz.de/10011746616

Moody Oil - What is Driving the Crude Oil Price?

Lechthaler, Filippo; Leinert, Lisa - 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/10011753232

Oil price and economic growth: A long story?

Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics 4 (2016) 4, pp. 1-28

. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different … changes in oil prices and GDP growth when considering the full period. However, we find a significant relationship in some … framework. Finally, we obtain evidence, by means of a time-varying VAR, that the impact of the oil price shock on GDP growth has …

Persistent link: https://www.econbiz.de/10011755344

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane; Hamilton, James D. - 2017

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

Persistent link: https://www.econbiz.de/10011794174