Effect Of Crude Oil Prices Research Articles

Effect of Crude Oil Prices on Economic Growth in Kenya in the Period 1981 To 2018

Crude oil is an essential resource in the day-to-day activities of a functional economy. Crude oil and petroleum products constituted 14 percent of the Kenya’s imports in 2017 up from 12 percent in 2015. As Kenya moves into an oil-exporting country, there is a need to measure the role crude oil prices play in directing the economic growth of the country. This study assessed the effect of crude oil prices on the economic growth of Kenya. Gross capital formation, bank lending rate, employment rate and debt servicing were used as control variables in the models estimated. The study employed secondary data for the period 1981 to 2018. The findings indicate that crude oil prices had a positive but insignificant effect on economic growth. The study recommends that the government diversifies its sources of energy to ensure that economic activity economy is not deeply connected to crude oil prices because of their volatility.

Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach

Petroleum products constitute major share of Pakistan's imports. A change in crude oil prices affects energy prices and thus manufacturing and transportation cost. All these factors result in influencing the prices of goods and services which ultimately affect the welfare level of masses. Keeping in view, the market structure at international and local level, present study examines the pass-through effect of crude oil prices on food and non-food prices in Pakistan using nonlinear and asymmetric autoregressive distributive lag (NARDL) model and causality tests for 1990Q3 to 2019Q4 period. Results show that oil prices effect both food and non-food inflation, but effect is more pronounced in non-food inflation. It is also found that the impact is asymmetric, that is, effect is positive and significant only when oil price increase. Results of this study confirm the role of market power in commodity prices in Pakistan and call for effective regulatory policies.

Impact of Crude Oil Price on the Political Environment of Crude Oil Consuming Countries

The paper examines the crude oil price effects on the political environment of the top four crude oil-consuming countries. The study uses data from 2002 to 2017 to showcase the effect of crude oil price on political environment of crude oil-consuming countries. The study takes Voice and Accountability (VA), Political Stability and Absence of Violence/Terrorism (PS), Government Effectiveness (GE), Regulatory Quality (RQ), Rule of Law (RL) and Control of Corruption (CC) as potential determinants of the political environment. The results indicate that crude oil price has significantly affects USA (VA), China (VA), USA (PS), China (PS), Japan (PS), USA (GE), Japan (GE), USA (RQ), China (RQ), USA (RL), Japan (RL), USA (CC), and Japan (CC). An interesting observation from the result is that out of the top four crude oil-consuming countries, crude oil price mostly affects USA while least affecting India. The empirical finding in this study provides a new understanding of the relationship between crude oil prices and their effect on the political environment.

The impact of oil price on the clean energy metal prices: A multi-scale perspective

To examine the spillover effects of crude oil price and clean energy metal prices, we first explore the Granger causality between crude oil and clean energy metals prices. Then, we decompose crude oil price returns into a high frequency sequence (Oil_HF), a low frequency sequence (Oil_LF), and a trend residual (Oil_res) using the ensemble empirical mode decomposition model. Lastly, a VAR model is used to study the spillover effects of crude oil price on seven types of clean energy metal prices. The results show that crude oil price has non-linear Granger causality with lithium, cobalt, manganese, antimony, cadmium, molybdenum, and tellurium. And crude oil price has a significant positive spillover effect on seven types of clean energy metals at different time scales. Specifically, the crude oil original sequence, Oil_HF, Oil_LF, and Oil_res all have fluctuation effects on the cobalt and molybdenum markets. The spillover effects of the crude oil market on the lithium, manganese, antimony, and cadmium markets are caused by the low frequency sequence. The trend in crude oil price returns has a great effect on tellurium price, while the spillover effects of crude oil price, Oil_HF, and Oil_LF on tellurium are weak positive.

Do green investments react to oil price shocks? Implications for sustainable development

This study investigates whether green investments are connected to oil price shocks. While earlier papers mainly investigate the linkage between clean energy stock and crude oil prices, we consider recently introduced environmental indexes consisting of companies that use eco-friendly production processes and develop green infrastructures. Using the Markov regime switching regression approach, we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant, albeit positive in most of the cases. One possible reason behind such a finding is that the oil-dependence is limited to the case of eco-friendly firms. The results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets. Given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments, our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets. One important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations. This is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility. Hence, our study aims to conceal an important void in the exiting literature.

Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China’s commodity sectors in the spectral representation framework of generalized forecast error variance decomposition (GFEVD). We find evidence that international crude oil markets has significant volatility spillover effects on China's bulk commodity markets, and the volatility spillovers are sensitive to extreme geopolitical or financial events. The net spillovers of international oil markets are almost positive and driven mainly by short-term components (within a week). However, uncertain financial factors from China such as the market-oriented reform in 2013 and the stock disaster in 2015 adversely affect the net oil-commodity volatility spillovers through the medium-term components (week to a month) and long-term components (month to a year). Moreover, the volatility spillover effects of crude oil prices on different commodity sectors in China are heterogeneous. Metal, coal coke and steel ore and energy commodity sectors are more affected by crude oil prices, while non-metal building materials and agricultural commodities are less affected. These outcomes implement necessary implications for investors and policymakers.

SYMMETRIC AND ASYMMETRIC EFFECT OF CRUDE OIL PRICES AND EXCHANGE RATE ON BOND YIELDS IN INDONESIA

This study aims to examine the symmetric and asymmetric effects of crude oil prices and exchange rate on bond yields in Indonesia. Dubai crude oil prices are used as a proxy for crude oil price data and the IDR/USD exchange rate is used as a proxy for exchange rate. Meanwhile, the 10-year Indonesian bond yields are used as a proxy for bond yields. Data on Dubai crude oil prices, the IDR/USD exchange rate, and the 10-year Indonesian government bond yields are time-series data from January 2007 to April 2019. The results of the test using the ARDL and NARDL models show that (1) in the long-run, neither the crude oil prices nor the exchange rate has symmetric and asymmetric effects on the bond yields, and (2) in the short-run, both of them have symmetric and asymmetric effects on the bond yields.

Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets

AbstractThis paper aims to investigate the cross‐interdependence between crude oil and agricultural commodity prices. We apply a test of persistence in order to verify whether crude oil prices' effect on the agricultural commodity markets is immediate or delayed. Using the daily data covering the period 2003–2017, results show that the delayed effect of crude oil prices on the agricultural commodity prices is lower than the immediate effect. Furthermore, the dependence is strongly persistent and more affected by the food crisis than the oil crisis. Additionally, a contagion effect is detected during the food crisis for almost agricultural commodity markets, while during the oil crisis, it is verified only for the soybean and wheat markets. The study is designed to determine a reliable framework for returns and volatility forecasting in commodity markets based on the oil market changes.

CRUDE OIL PRICE AND EXCHANGE RATE: AN ANALYSIS OF THE ASYMMETRIC EFFECT AND VOLATILITY USING THE NON LINEAR AUTOREGRESSIVE DISTRIBUTED LAG AND GENERAL AUTOREGRESSIVE CONDITIONAL HETEROCHEDASTICITY IN MEAN MODELS

This study aims to examine the asymmetric effect of crude oil price and volatility on exchange rate. The price of WTI crude oil is a proxy for crude oil, while IDR/USD exchange rate is a proxy for exchange rate. The time series of both WTI crude oil price and IDR/USD exchange rate span the period of January 2006 to December 2017. To test the asymmetric effect, the NARDL-GARCH-M model is used. The results of the analysis show that in the short-term there is an asymmetric effect of crude oil price and volatility on the IDR/USD exchange rate while in the long-term such effect does not exist.Keywords: Crude oil prices, exchange rates, volatility, NARDL model, GARCH-M modelJEL Classifications: C120, C320, E310, G150DOI: https://doi.org/10.32479/ijeep.8362

Trade Openness and Crude Oil Price Effects on Food Inflation: Examining the Romer Hypothesis in Kenya

Food Prices accounts for about 36% of the overall consumer price index in Kenya and it’s the single largest of the 12 components that make up the index. Therefore, shocks in food prices could considerably be transmitted to the overall consumer price index. While Kenya agricultural production is heavily rain-fed, external pressures from and shocks from crude oil price, international trade are transmitted inwards and pile more pressure on food prices as well. While inflation tend to follow all the available information in the market and business per the rational expectations’ theory, price factors are a key determinant of business cycles, because price stickiness tend to drive demand. Therefore, demand for food products could be driven by several market features including internal food prices, oil prices, productions and importation costs. The objective of this research was to analyze the effect of Trade openness on food inflation in Kenya with a view of establishing if Romer’s hypothesis holds in Kenya. The second objective is to establish the effect of crude oil prices on food inflation in Kenya. The study employed Autoregressive Distributed Lag (ARDL) cointegrating technique to estimate both short-run and long run estimates. The study findings indicate that trade openness significantly has a reducing influence on food inflation hence confirming the existence of Romer’s hypothesis in Kenya. Secondly, crude oil prices have a positive and significant effect on food inflation. Interestingly, the study found that money supply does not have significant influence on food inflation. The study recommends embracing and adopting international free trade agreements to further leverage on imports prices, increase buffer storage to cushion against food demand and hence stabilize food prices. Secondly the government should enhance further price controls on oil prices to reduce spillovers to food production and supply costs. In addition, Kenya should develop technologies to improve agricultural farm production to leverage dependence of rain-fed agricultural sector.

Crude Oil Price, Urbanization and Environmental Pollution: Fresh Evidence from Selected African OPEC Member Countries

The paper investigates the effect of crude oil price and urbanization on the environmental pollution in the case of six selected OPEC African member countries for the 1986-2018 period and applied panel ARDL model. Finding from PMG model indicates that crude oil price, urbanization and foreign direct investment have a significant negative influence on environmental pollution in the long-run while in the short-run, urbanization has a significant negative impact on environmental pollution but all the remaining variables have a significant positive impact on environmental pollution. There was slow speed of adjustment from short-run disequilibrium to equilibrium position at 26 percent yearly. The Pairwise Dumitrescu Hurlin panel causality test revealed the existence of bilateral causality flowing from urbanization to environmental pollution, economic growth to environmental pollution, economic growth to crude oil price and economic growth to urbanization. While unidirectional causality exists flowing from crude oil price to environmental pollution and foreign direct investment to economic growth. As a recommendation for these countries to achieve and maintain quality environment, the nations must restrict the speed of urbanization process to its optimum level and this process will decrease the environmental effects associated with it. The existence of exertions regarding development and urbanization, now it is the right time for the governments of these countries to produce and stretch plan that will continue to concentrate on exploration of crude oil, since the increasing crude oil price from the global energy market exerts positive effect on the entire revenue generated by these economies.

Interdependencies of Stock Index, Oil Price, Gold Price and Exchange Rate: A Case Study of Pakistan

The core objective of the research conducted is to explore the interactions of stock index, gold price, crude oil price and exchange rate in Pakistan from September 1997 to April 2018. The interaction is examined by concurrent equations. For analyzing the trend of Pakistan economy, unit root test, correlation test, co-integration technique, vector autoregressive model, granger test is done. The result indicates absence of long run relationship among all of the variables. However, results demonstrate significant effect of crude oil price & Gold price on exchange rate. Whereas, Pakistan stock market is affected by exchange rate. Recommendations for the government are given to give more focus on economic policies for crude oil price, stock index, gold price and exchange rate to make them stable in the country. The study is tremendously beneficial for high authorities in business, policy and decision maker in the country and as well as investors because they can predicate and able to understand the fluctuation of these variables in the economy. Statistical software used for this study is EVIEWS 9th edition.

Measuring the volatility spill-over effects of crude oil prices on the exchange rate and stock market in Ghana

ABSTRACTThis paper examines shock and volatility spill-over effects from crude oil prices to Ghana’s exchange rate and stock market. We employ multivariate GARCH BEKK and TBEKK models using monthly data from January 1991 to December 2015. We address two main issues. First, whether oil price movements affect Ghana’s exchange rate and stock market. There are very few previous papers that consider the impact of such volatility spill-overs for Ghana and we are the first to do so in a four-variable system of equations. Second, whether any oil price effects depend on the treatment of oil prices as exogenous or endogenous. We are the first to consider specifications that treat crude oil price spill-over effects as exogenous. We find that oil prices have significant spill-over effects on the exchange rate. This result is unaffected by the treatment of oil prices as exogenous or endogenous. However, the relationship between oil prices and Ghana’s stock market depends on whether the oil price is exogenous or endogenous. The implication of these results is that internationally diversified portfolio investors in Ghana should use hedging strategies such as currency forwards, futures, and options to protect their investments from exchange rate risk emanating from oil price shocks.

Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns

This paper has two aims. First, we measure the asymmetric effect of crude oil prices on stock returns under a regime switching framework in the context of major oil exporting countries namely: the United Arab Emirates (UAE), Qatar, Saudi Arabia, Russia, Venezuela and Kuwait. The key results from our baseline model suggest that stock returns in all the markets exhibit regime switching behaviour with the bull market regime dominating most of the period except for Russia. Also, we found strong linkages among the bear market periods with Qatar and Saudi Arabia exhibiting the strongest negative linkage. The UAE and Saudi Arabia are more likely to experience bearish market conditions at same period whereas Russia is segmented from other markets except Saudi Arabia. Results from our augmented model suggest that the effect of crude oil price varies across regimes, impacting more strongly on stock returns during recession than during periods of expansion especially in Venezuela and Saudi Arabia. Secondly, we examine volatility spillover from crude oil prices to stock returns and found a substantial cyclical volatility spillover from crude oil to returns especially in the UAE, Russia and Qatar and that the evolution of spillover follows key developments in the market for crude oil, geopolitical risks and then, global economic conditions. Our results hold profound implications for risk management and portfolio diversification strategy in oil exporting region.

Time-Gap effects of crude oil prices on the foreign exchange rates

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis. The results revealed an insignificant dynamic long term response of exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

THE IMPACT OF OIL PRICES ON THE GLOBAL COMPETITIVENESS OF NATIONAL ECONOMIES

The influence of various factors on the competitiveness of national economies is investigated in many articles, however, there is little research on the impact of resource prices on it. This article aims to examine the effect of crude oil prices on the global competitiveness of both producing countries and countries consuming oil. Based on annual data from 60 countries for 2006–2017, a regression analysis of panel data with fixed effects shows that exceeding the annual growth rate of oil prices over GDP growth rates reduces the growth rate of the global competitiveness index, and it is twice strong for oil exporting countries than for countries non-oil exporters. And the growth of average labor productivity, total factor productivity, the share of employed in the total population, High-technology exports, and the Gross capital formation raises the country's global competitiveness index. Due to the rise in world oil prices, exporting countries are moving downward in the global competitiveness ranking more than non-oil exporters.Keywords: oil price, global competitiveness index, panel dataJEL Classifications: C33, C55, F6, O47DOI: https://doi.org/10.32479/ijeep.8089

THE EFFECT OF CRUDE OIL PRICES ON INFLATION, INTEREST RATES AND ECONOMIC GROWTH IN INDONESIA

This study aims to examine the effect of crude oil prices on inflation, interest rates, and economic growth in Indonesia. The data used are quarterly time series data on crude oil, interest rates, inflation, and Indonesia's economic growth from the first quarter of year 2001 to the second quarter of year 2017. To test the effect, an autoregressive distributed lag (ARDL) equations system or a multivariate ARDL model is used. The results of data analysis reveal that (1) there are no long-run and short-run effects of crude oil prices on inflation, (2) there are long-run and short-run effects of crude oil prices to the interest rate. In the long run, every 1% increase in the price of crude oil, the interest rate drops 0,26%, and (3) there is no effect of crude oil prices on economic growth both in the short and long-run. Keywords : crude oil prices, interest rate, inflation, economic growth, ARDL model. JEL Classifications: E300, E310, E42, O440 DOI: https://doi.org/10.32479/ijeep.7829

The Analysis Effect Of Commodities Crude Oil and Coal In Indonesia Stock Exchange

Crude oil is a commodity and major world needs today. Since the historic collapse of Lehman Brothers helped precipitate the global economic crisis in the spring of 2008, a strong positive correlation between the price of crude oil continues to appear and the global stock markets, including the stock exchanges in Indonesia. This happens due to capital market investors assume that rising energy prices are a sign of the increasing global demand objective of this study was to determine the effect of crude oil prices and the price of coal on JCI in the Stock Exchange in the period 2012 -2017. 
 This study will use a time series data analysis tool Vector Autoregression approach. VAR model approach is considered more suitable for detecting a mutual relationship or a dynamic two-way causality between variables in world crude oil prices, the price of gold and the price of coal on the stock price index of the mining sector in the system of equations

Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests

We try to empirically document the effects of crude oil price on the economic growth in BRICS countries using wavelet-based quantile-on-quantile method which is used to decompose the raw information into different investor horizons and address the comprehensive effects across different quantiles. We find evidence that the heterogeneous effects exist in different countries, periods and quantiles due to diverse oil policies and economic development. Moreover, we find a positive effect in the BRICS countries, which weakens when oil price is at a high level in Brazil and Russia, and weakens over time in India. Regarding China, the positive effect is shown in the short and medium term, then a negative impact occurs, however, oil price stimulates economic growth in the long run. For South Africa, a negative effect is only observed in the short run, yet the positive effect reemerges although diminishes over time. Our empirical results are of great significance for policy implications in BRICS countries to maintain a safe and stable economic system.

Empirical Analysis of Crude Oil Price Effects on Exchange Rate Volatility

This study examined the effects of crude oil price on nominal exchange rate volatility for oil and non-oil exporting countries. Immediately after the global financial crisis, the swings in the movement of crude oil price revealed how vulnerable the currencies of oil exporting countries and other commodity exporting countries. Using the Structural VAR method and the sample data from 2011 to 2016, the study estimated the effects of crude oil price on exchange rate stability and its impulse responses. Empirical results show that exchange rates for oil exporting countries are highly vulnerable to crude oil price shocks. As crude oil price declines, exchange rate volatility increases, similarly large crude oil price increases are associated with low exchange rate volatility. Currencies such as Angolan Kwanza, Russian Ruble, and Mexican Peso are very sensitive to crude oil price shocks. SVAR results show that oil price shocks significantly reduce exchange rate volatility of oil exporting countries. Meanwhile, the exchange rate volatility for non-oil exporting countries was driven by other factors than the price of crude oil.