In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical performance of the univariate MS models used to describe the switches between different economic regimes for the G-7 countries is in general not satisfactory. We extend these models...

The aim of this paper is to investigate how major net oil exporter economies react to oil price shocks. We contribute to the literature by considering, at the same time, the possible nonlinearity and asymmetry of this relationship with respect to sign, size and causes of the oil price shocks, as...

This study investigates the impact of stock price fluctuations on stock markets in six countries in Gulf Cooperation Council (GCC) (Saudi Arabia, Kuwait, Oman, Bahrain, United Arab Emirates (UAE) and Qatar) during and after the recent geopolitics conflicts, known as Arab Spring, from January...

This paper contributes to the existing empirical literature by exploring the asymmetric impact of supply-driven and demand-driven oil price shocks on the economic performance of oil exporting countries. The study is carried out using the panel vector autoregression (P-VAR) framework and annual...

This paper examines the impact of government size on how output and government expenditurerespond to oil price shocks in 28 oil-exporting countries between 1990 and 2016. Results suggestthat if the size of government (measured by government expenditure-to-(non-oil) GDP ratio) islarger, non-oil...

This paper provides evidence on the influence of oil price uncertainty on the real economic activity in two Middle Eastern countries, namely, Jordan and Turkey that are heavily dependent on oil imports. To measure the effect of uncertainty, the paper combines a bivariate structural VAR with a...