This paper studies the impact of oil price shocks on fiscal policy and real GDP in Oman using new unexplored data. We find that an oil price shock explains around 22% and 46% of the variation in the government revenue and GDP, respectively. Decomposing the government revenue and GDP further into...

Movement in China’s money supply drives the movement in world money supply over the last twenty years. Within the framework advanced by Kilian (2009) that identifies the supply and demand side factors driving oil price changes we introduce the influence of liquidity in China and other...

We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...

We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...

A dynamic model of investment is estimated with data on non-financial firms in 15 European countries across 25 industries over 1991-2006. A rise in real energy price reduces the degree of persistence in the investment adjustment cost function. Panel results suggest that in manufacturing a 1%...

We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...

We analyze the long-run relationship between the world price of crude oil and international stock markets over 1971:1?2008:3 using a cointegrated vector error correction model with additional regressors. Allowing for endogenously identified breaks in the cointegrating and error correction...

Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an oil exporter shows a statistically significantly positive response of real stock returns to...