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The determinants of crude oil prices : evidence from ARDL and nonlinear ARDL approaches
Ben Salem, Leila; 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/10013429325
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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/10013470309
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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/10014242790
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On the impact of oil prices on sectoral inflation : evidence from world's top oil exporters and importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014451998
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Chain of Cointegration in the Refined Products Market : From Crude Oil Spot to Gasoline Futures
Ghoddusi, Hamed - 2017
Using multiple econometrics methods, this paper examines the cointegration and causality relationships between the … cointegration between prices in adjacent markets, crude oil spot and gasoline spot as well as gasoline spot and gasoline futures … cointegration in the chain of crude oil spot, gasoline spot, and gasoline futures markets. Among other results, we observe a bi …
Persistent link: https://www.econbiz.de/10012968539
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How do oil prices affect the GDP and its components? : new evidence from a time-varying threshold model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014529202
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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-Connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
This paper investigates the co-movements of oil prices and the exchange rates of 10 top oil-importing and oil-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we adopted the recent DCC-GARCH-CONNECTEDNESS approach...
Persistent link: https://www.econbiz.de/10014490828
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How Do Oil Prices Affect the GDP and Its Components? New Evidence from a Time-Varying Threshold Model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014574276
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On the Impact of Oil Prices on Sectoral Inflation: Evidence from World's Top Oil Exporters and Importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014469478
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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange
Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
This paper investigates the relationship between oil prices (Brent and West Texas Intermediate (WTI)) and Kuwait Stock Exchange (KSE) prices at the sector level. In a nonlinear autoregressive distributed lag (NARDL) model, ten major sectors in Kuwait are studied using daily data from 3 January...
Persistent link: https://www.econbiz.de/10011598070