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Importance of Oil Shocks and the GCC Macroeconomy : A Structural VAR Analysis
Nasir, Muhammad Ali; Al-Emadi, Ahmed Abdulsalam; … - 2019
This study is an endeavour to analyse the influence of oil price shocks on the macroeconomy of the Gulf Cooperation Council(GCC) member countries (Bahrain, Kuwait, KSA, Oman, Qatar and UAE). By employing a structural Vector auto-regression(SVAR) model for period 1980–2016, our key findings...
Persistent link: https://www.econbiz.de/10014107050
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Oil price shocks and economic growth in oil-exporting countries
Ahmadi, Maryam; Manera, Matteo - 2021
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...
Persistent link: https://www.econbiz.de/10012519959
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The impact of China's economic growth on crude oil price : evidence from structural VAR
Hamendi, Ahmed; Hook, Law Siong - In: Review of Economic Analysis : REA 15 (2023) 3/4, pp. 237-252
This paper examines the impact of Chinese economic growth on the real price of crude oil based on monthly time series data from 1992:01 to 2017:06 using structural vector auto-regression (SVAR). The variables of the SVAR model are global crude oil production, index of global economic activity,...
Persistent link: https://www.econbiz.de/10014481185
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Monetary policy and the oil futures market
Eickmeier, Sandra; Lombardi, Marco - 2012
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10009682077
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Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries
Manera, Matteo; Cologni, Alessandro - 2013
Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several...
Persistent link: https://www.econbiz.de/10014061476
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Identifying money and inflation expectation shocks on real oil prices
Benk, Szilárd; Gillman, Max - 2023
role played by inflation expectations and the money supply shocks during major oil shock episodes. These shocks partially … replace roles previously attributed to the precautionary oil demand shock and the aggregate demand shock during the three … major oil shock periods of the 1970s-1980s, post-2008 and during the 2020-2021 pandemic. The results show that both real oil …
Persistent link: https://www.econbiz.de/10014295388
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On the GCC currency union
Razzak, Weshah A. - 2009
Essentially, the impact of the currency union on member countries depends on whether the common currency area is optimal in the sense that the effect of the asymmetric shocks is small, Mundell (1961). Typically, researchers use VAR of different types to analyze the data. For robustness, we use...
Persistent link: https://www.econbiz.de/10011523971
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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 structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
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 … structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to …
Persistent link: https://www.econbiz.de/10010476423
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The Impact of Oil Prices on Stocks Markets : New Evidence During and After the Arab Spring in Gulf Cooperation Council Economies
El-Chaarani, Hani - 2021
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...
Persistent link: https://www.econbiz.de/10013228081