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This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a...
Persistent link: https://www.econbiz.de/10013293023
liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …
Persistent link: https://www.econbiz.de/10009743922
demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times. -- oil …
Persistent link: https://www.econbiz.de/10009621702
This study is an attempt to ascertain how sharp oil price changes can affect oil-exporting and oil-importing economies. To this end, a simultaneous equation model (SEM) was applied through a weighted two-stage least squares estimation method to different countries (21 cases) with business...
Persistent link: https://www.econbiz.de/10011723759
link between oil shocks and the volatility of economic growth. A new measure of oil shocks is developed and shown to be … volatility to oil price changes. Uncertainty about future growth is considerably lower compared to a benchmark AR(1) model when …
Persistent link: https://www.econbiz.de/10014114772
volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …
Persistent link: https://www.econbiz.de/10014380679
In response to the Covid-19 pandemic, governments around the world have provided a massive fiscal and monetary stimulus … selfish individuals and more on the mobilization of people's prosocial motives. Finally, to encourage people around the world … encourage people around the world to cooperate globally in tackling global problems, with the aid of two powerful tools that …
Persistent link: https://www.econbiz.de/10012226035
The sharp upturn of energy and food prices have become serious challenges almost all over the globe. Despite the voluminous literature on the relationship between energy prices and food prices, the existing research, however, mostly relied on linear frameworks and aggregate measures of energy...
Persistent link: https://www.econbiz.de/10014517628
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