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International Oil Price and Sectoral Stock Prices : An Asymmetric Kernel and Nonlinear Autoregressive Distributed Lag Analysis
Banto, Jean Michel; Doho, Libaud Rudy Aurelien; Somé, … - 2023
In this work, we test the price sensitivity of sector indices to changes in the oil price over the period 2001 to 2021 using the kernel method and the non-linear autoregressive method with distributed lags (NARDL) proposed by Shin et al., (2014). We capture both short-term and long-term...
Persistent link: https://www.econbiz.de/10014348440
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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Explaining the Nonlinear Response of Stock Markets to Oil Price Shocks
Escobari, Diego; Sharma, Shahil - 2020
This paper is set to reconcile the existent conflicting empirical evidence on the effect of oil prices on stock prices. We estimate various nonlinear models where the response changes according to a first-order Markov switching process. More importantly, we model the transition probabilities...
Persistent link: https://www.econbiz.de/10014352223
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The Asymmetric Long-Run Relationship between Crude Oil and Gold Futures
Lee, Yen-Hsien; Huang, Ya-Ling; Yang, Hao-Jang - 2012
heteroskedasticity to investigate asymmetric cointegration and causal relationships between West Texas Intermediate Crude Oil and gold …
Persistent link: https://www.econbiz.de/10014176470
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Oil price fluctuations and economic growth : the case of MENA countries
Abdelsalam, Mamdouh Abdelmoula Mohamed - In: Review of economics and political science : REPS 8 (2023) 5, pp. 353-379
Purpose - This paper aims to explore the extreme effect of crude oil price fluctuations and its volatility on the …. Findings - The paper can summarize results as following: changes in oil price and its volatility have an opposite effect for … each oil-export and oil-import countries; for the former, changes in oil prices have a positive impact but the volatility a …
Persistent link: https://www.econbiz.de/10014444687
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The Ethanol Mandate and Crude Oil and Biofuel Agricultural Commodity Price Dynamics
Serletis, Apostolos - 2018
We investigate mean and volatility spillovers between the crude oil market and the main biofuel feedstock markets (corn … tightly interconnected and that the ethanol mandate has strengthened their linkages in terms of volatility spillovers …
Persistent link: https://www.econbiz.de/10012915231
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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 … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …
Persistent link: https://www.econbiz.de/10011438638
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How does stock market volatility react to oil shocks?
Bastianin, Andrea; Manera, Matteo - 2014
We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …
Persistent link: https://www.econbiz.de/10010476423
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10011854772
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An Empirical Study on the Dynamic Relationship between Oil Prices and Indian Stock Market
Sahu, Tarak Nath - 2017
.Design/methodology/approach– The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration … cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long …
Persistent link: https://www.econbiz.de/10012972835