Effect Of Crude Oil Prices Research Articles

Risk Spillover Effect of Crude Oil Prices Against Stock Price Indices: Case Study of Oil-Producing and Consumer Countries for The Period of 2000-2022

This research investigates the risk spillover effects of crude oil prices on stock price indices in both oil-producing and consumer countries during the period 2000–2022. The research employs the GARCH Copula Quantile Regression (CQR) model, a method capable of capturing nonlinear dependencies and tail risks between crude oil prices and stock indices across different risk levels. The data includes daily crude oil prices (WTI) and stock indices of oil-producing countries (S&P500, TASI, MOEX, TSX) and consumer countries (SSE, BSE SENSEX, Nikkei 225). The findings reveal significant downside and upside risk spillovers from crude oil prices to stock indices, with oil-producing countries experiencing higher spillover risks compared to consumer countries. Notably, the TASI index exhibits the greatest risk spillover among producing countries, while the SSE index is most affected among consumer countries. These results highlight the asymmetrical nature of risk spillovers, with downside risks posing greater challenges than upside risks. This research contributes to the existing literature by providing a more detailed analysis of risk dependencies using the GARCH CQR model and offering practical insights for investors and policymakers to better manage risks in volatile markets. The study underscores the importance of understanding tail dependencies in financial markets affected by crude oil price fluctuations.

Crude oil price and exchange rate: An econometric analysis on commodity price in Nigeria

This study empirically examined the effects of crude oil price and exchange rate on commodity price in Nigeria from 1990 to 2022 employing Autoregressive Distributed Lag (ARDL) testing procedures. Commodity price index is utilised to proxy commodity price while the adopted independent variables are crude oil price and exchange rate, with government capital expenditure and interest rate employed as control variables. The study utilized time series data sourced from Central Bank of Nigeria (CBN) statistical bulletin and World Development Indicators (WDIs) of the World Bank. Diagnosis for unit roots in the time series data were conducted employing the Augmented Dickey Fuller method and the upshots suggested mixture of I(0) order and I(1) order of integration, with the Bounds cointegration estimate showing long-run relationship. The ARDL upshots showed that crude oil price contributed long-run direct and substantial effects on commodity price index in Nigeria but negatively in the short-run while rise in official exchange rate positively and substantially contributed to long-run and short-run CPI effects. The study therefore concluded that upsurge in crude oil price and exchange rate are major determinants of commodity price level in Nigeria. It is thus recommended among others that Nigeria's heavy earnings from crude oil exports which is vulnerable to fluctuations in global oil prices should be supported with strengthening the non-oil sector to stabilize commodity prices in the long-run. Also, the CBN should ensure real non-oil sector friendly revaluation of the Naira relative to the US Dollar as this will strengthen the domestic economy and curb future inflationary pressures. Keywords: Crude Oil Price Per Barrel, Official Exchange Rate, Commodity Price Index, ARDL Testing Procedure and Nigeria.

The asymmetric effects of oil prices on the exchange rate in BRICS: evidence from an advanced quantile approach

ABSTRACT This paper employs a novel quantile-on-quantile (QQ) method to analyse the asymmetric effects of crude oil prices on the exchange rates of BRICS countries, utilizing monthly data from January 1994 to December 2023. The results reveal that oil prices have a generally positive influence on the exchange rate in Russia, while in South Africa, the impact is predominantly negative. The effects of oil prices on exchange rates among the BRICS countries vary significantly based on specific quantile combinations. For Russia and South Africa, the strength of this effect is notably different. In the cases of China and India, a negative exchange rate response to oil prices can be found in the area that combines high quantiles of exchange rate with low quantiles of oil prices. Overall, crude oil prices’ impact on exchange rates is asymmetrical across the quantile distributions for BRICS countries. These insights deepen our understanding of how fluctuations in oil prices shape economic dynamics in emerging markets, offering valuable guidance for policymakers and stakeholders in their strategic responses to global energy market changes.

THE EFFECT OF CRUDE OIL PRICE VOLATILITY ON INFLATION IN INDIA: EVIDENCE FROM ARDL APPROACH

India has been experiencing the issue of rising crude oil prices since 2017, after a low-price regime from 2014 to 2017. Inflation was also moderate during the low-crude oil price regime. It has been empirically seen that a rise in crude oil prices exerts a significant impact on the inflationary situation of the nation. Rising oil prices and their spillover into higher general price levels might exacerbate the crisis in a nation that is already struggling with the declining demand for investment and consumption. The domestic oil price needs to be controlled by the government to boost demand while controlling inflation without putting further stress on the populace. Against this background, the present research aims to investigate the relationship between the crude oil price and the inflation rate in the nation using the data from 1991 to 2020 (before Covid years). This paper also aims to investigate the effect of crude oil prices and inflation on economic growth in India. The paper has used an Autoregressive Distributed lag model to investigate the long-run and short-run association between them. Our analysis shows that the prices of crude oil have a statistically significant impact on India’s inflation rate over the long and short terms. KEYWORDS: Inflation, Crude oil price, India, Spillover, ARDL, Granger Causality, GDP

The interconnectedness between crude oil prices and stock returns in G20 countries

This study examines the link between crude oil prices and stock returns in G20 countries. Using the dynamic connectedness approach and a dataset from March 24, 2014 to December 15, 2023, we found volatility transmission between stock returns and crude oil prices. Specifically, we observed that an average of 51.22% of shock on one asset spills over to all other assets. Additionally, our study identified the CAC 40 (France), FTSE 100 (United Kingdom), TMX (Canada), and IGBM (Spain) as major transmitters of shocks. For an in-depth understanding of the effects of crude oil prices on the stock market, we divided the countries into oil-exporting and oil-importing nations. We discovered that shock transmission in oil-exporting countries is negligible, while oil-importing countries experience significant shock transmission. Our findings have important implications for investors and policymakers, as they can maximize returns for the former and help the latter in stabilizing volatile markets.

Modelling the Impact of Crude Oil Prices and Stock Price Index on Indonesia’s Exchange Rates

Abstract This paper employs various GARCH-type models and the daily data from 3 July 2006 to 30 June 2021 to examine the effect of crude oil prices and stock price index on exchange rates for Indonesia, the largest oil producer in Southeast Asia. Since the share markets and oil prices are very volatile, testing the stability of the parameters or system is desirable. We achieve this by using the Nyblom’s fluctuations test and account for the structural break associated with the fluctuations. Findings reveal that lower oil price return leads the Indonesian currency per US dollar to depreciate. In addition, we find that stock return has negative and significant relation with exchange rates. This lends support to the portfolio balance effect in which a decrease in stock prices leads to a depreciation of Indonesian Rupiah against the US dollar. Evidence from EGARCH model shows that shocks to the volatility of exchange rate have a symmetrical effect. Our results suggest that as lower oil prices and stock prices contributes to depreciation of Indonesia rupiah against USD, an appropriate monetary policy may require adjustment of interest rates to resist the exchange rate fluctuations without being detrimental to the banking system.

NONLINEAR EFFECTS OF CRUDE OIL DEPENDENCY ON FOOD PRICES IN CHINA: EVIDENCE FROM QUANTILE-ON-QUANTILE APPROACH

The repercussions of disruptions in the global crude oil market have a substantial influence on economies worldwide. Oil shocks are considered important estimators of many economic variables. The current research examines the effects of oil price shocks on food prices in China using monthly data from 2000M1 to 2021M12. The estimation is done using the Quantile on Quantile (QQ) estimation technique. The BDS test is used to test nonlinear dependence in variables. The results of this test confirm the presence of nonlinear dependence in variables. The estimated results of the QQ technique suggest a strong association between oil prices and food prices nexus in China with significant disparities across the quantiles. The lower and medium quantiles show a poor negative effect of crude oil prices on food prices. Nevertheless, it has been shown that there exists a strong positive correlation in the higher quantiles of the distribution, which suggests that an increase in global oil prices directly impacts the costs of food. The outcome of the study offers significant policy recommendations aimed at mitigating the detrimental impact of oil prices on food prices in China.

Oil Price Volatility and Business Profitability: Evidence from The Local Market

This study seeks to investigate the impact of oil price volatility on business profitability in the Province of Guimaras. Through a mixed-methods approach, the study aims to answer important research questions such as the correlation between crude oil price changes and micro business profitability and investment, potential differences in the effect of crude oil prices during periods of high and low prices, trends in the profitability of micro businesses entrepreneurs, the role of the oil and gas upstream segment and its prospects for the future, and proposes an extension program toolkit to help micro business entrepreneurs mitigate the impact of oil price fluctuations on their businesses. The study will collect and analyze data from 200 micro business entrepreneurs operating in five municipalities within the Province of Guimaras, which represent approximately 90 percent of micro businesses in the area by population. By providing significant insights into the impact of oil price volatility on small businesses, the findings of this study can help inform policymakers and business owners to improve economic sustainability and competitiveness in the local market. The researchers recommend several strategies to help small businesses better manage the risks associated with oil price volatility. These include diversifying business operations and revenue streams, developing proactive risk management strategies, seeking financial support and education, and advocating for policies that promote energy efficiency or diversify energy sources. The researchers hope that these recommendations will help small businesses maintain profitability in the face of changing market conditions.

Asymmetric effects of crude oil prices and USD exchange rate on precious metals returns：Evidence from pre and during COVID-19 outbreak

Trading in commodities such as precious metals and crude oil is vital to the economy. Frequent exchange rate fluctuations have led to constant changes in commodity prices since 2000. Using quantile regression, this paper examines the impact of oil prices and the US dollar exchange rate on gold, silver, platinum, and palladium from January 1, 2013 to 5 May 2023. Oil prices positively affect precious metals returns, and positive and negative oil price shocks are asymmetric. Exchange rate movements negatively affect precious metal returns. In addition, gaps in the existing literature are filled by analyzing the effects of oil prices and the exchange rate on precious metals before and during COVID-19. This paper provides substantial evidence for revising the impact of the crisis.

Market integration and price transmission analysis of foreign and Ghanaian beef and mutton markets; the effect of crude oil price and exchange rate fluctuations

Market integration and price transmission analysis of foreign and Ghanaian beef and mutton markets; the effect of crude oil price and exchange rate fluctuations

Analyzing the volatility spillover and cointegration relationship between daily spot West Texas intermediate crude oil price and US dollar

In the study, it is aimed to analyze the diffusion and cointegration relationship between WTI and US Dollar in the period of 2016-2021. In the study, after a comprehensive literature review of the theoretical review, the econometric analysis section was started. In the first part of the analysis, the short and long-term relationships between the variables were examined with the autoregressive distributed lag methodology and the existence of a cointegration relationship was reached. According to the findings, the effect of WTI on foreign exchange volatility in the long run is statistically significant and negative. In the short-term evaluation, ECT is negative and significant within expectations. In this context, the changes between the variables approach the long-term equilibrium level. According to the results obtained in the causality and variance causality analyzes applied in the last part of the analysis, it is understood that there is a volatility spillover effect from WTI to foreign currency.

The Effect of Crude Oil Price and Inflation on Algae Export in Indonesia

The aim of this study is to test and analyze the long-term and short-term effects of crude oil prices and inflation on algae export in Indonesia. The effects were tested using multiple cointegration regression and error correction models. Furthermore, annual time series data from 2012 to 2021 was used in this study and the results of the analysis show that in the long term, crude oil price and inflation have a positive effect on algae export. While in the short term, only crude oil price positively influences its exportation.

Global hidden factors predicting financial distress in Gulf Arab states: a quantile–time–frequency analysis

PurposeThis study aims to uncover the main predictors of financial distress in the Gulf Cooperation Council (GCC) countries using a wide range of global factors and asset classes.Design/methodology/approachThis study uses novel approaches that take into account extreme events as well as the nonlinear behavior of time series over various time intervals (i.e. short, medium and long term) and during boom and bust episodes. This study primarily uses the conditional value at risk (CoVaR), the quantile multivariate causality test and the partial wavelet coherence method. The data collection period ranges from March 2014 to September 2022.FindingsUS T-bills and gold are the primary factors that can increase financial stability in the GCC region, according to VaRs and CoVaRs. More proof of the predictive value of the oil, gold and wheat markets, as well as geopolitical tensions, uncertainty over US policy and volatility in the oil and US equities markets, is provided by the multivariate causality test. When low extreme quantiles or cross extreme quantiles are taken into account, these results are substantial and sturdy. Lastly, after adjusting for the effect of crude oil prices, this study’s wavelet coherence results indicate diminished long-run connections between the GCC stock market and the chosen global determinants.Research limitations/implicationsDespite the implications of the author’s research for decision makers, there are some limitations mainly related to the selection of Morgan Stanley Capital International (MSCI) GCC ex-Saudi Arabia. Considering the economic importance of the Kingdom of Saudi Arabia (KSA) in the region, the author believes that it would be better to include this country in the data to obtain more robust results. In addition, there is evidence in the literature of the existence of heterogeneous responses to global shocks; some markets are more vulnerable than others. This is another limitation of this study, as this study considers the GCC as a bloc rather than each country individually. These limitations could open up further research opportunities.Originality/valueThese findings are important for investors seeking to manage their portfolios under extreme market conditions. They are also important for government policies aimed at mitigating the impact of external shocks.

Examining crude oil price outlook amidst substitute energy price and household energy expenditure in the USA: A novel nonparametric multivariate QQR approach

The outlook of crude oil prices has sparsely been empirically examined especially from the critical perspectives of energy expenditure per household, retail electricity prices, and environmental indicators. Given the enormous macroeconomic and socioeconomic effects of crude oil price amidst the fundamentals, this study examines the dynamics of the oil price outlook amidst energy demand (measured by energy expenditure per household), retail electricity price i.e., substitute price, and carbon dioxide (CO2) emissions in the United States of America (USA) over the period 1970 to 2040. This study offers two main innovations: first, it extends the bivariate nonparametric Quantile-on-Quantile Regression (QQR) to the multivariate case. Second, the analysis incorporates projected data series, which provides useful policy insights. The empirical results show evidence of time-varying effects of energy expenditure per household, retail electricity price, and CO2 emissions across the quantiles of crude energy prices. The results further show that the effect of energy demand through household energy expenditures is positive and stronger at the lower quantiles of crude oil price, which corresponds to periods of low crude oil prices. Furthermore, the effects of retail electricity price and CO2 emissions are negative and stronger in the mid-quantiles of crude oil price. This suggests that retail electricity prices and environmental indicator dampen crude oil prices during periods of low crude oil prices. These findings are robust to multivariate Quantile regression and Kernel-based Regularized Least Squares (KRLS) estimates. Therefore, our study suggests time-varying policies to dampen the effects of energy demand, retail electricity price, and environmental indicator on crude oil prices in the USA.

The Effects of Crude Oil Price Surprises on National Income: Evidence from India

The goal of this study is to look into how changes in crude oil prices affect GDP per capita and exchange rate fluctuations.to investigate the influence of crude oil price shocks on GDP per capita and exchange rate movements. This research employed yearly time series data for the price of crude oil, exchange rate (USD/INR), and GDP per capita, from 1990 to 2020. Arithmetical tools such as Descriptive, Unit Root, Granger Causality Test, and OLS Model were applied. The present study discovered a strong bi-directional Granger causality effect of Dubai crude oil prices on exchange rates, as well as a bi-directional Granger influence of exchange rates on WTI crude oil prices. The diagnostic tests were successfully passed by the estimated models. According to the OLS model, the exchange rate was driven only by the price of Dubai crude oil, although the price of WTI crude oil influenced both the GDP per capita and the exchange rate over the research period. The key policy recommendation derived from this analysis is that the Reserve Bank of India (RBI) must depreciate the rupee, first to restore much-needed exchange rate stability, then to stimulate domestic manufacturers, and finally, to attract foreign capital inflows.

How did the 2021-2022 energy shock impact the prices of transport services for consumers across EU countries?

This paper analyses the spillover effects oil price movements to consumer prices of transportation services in 27 EU countries, employing fixed-effects panel data estimation on the period from 2020 to 2023. This is the period of a sudden surge in global crude oil prices driven primarily by supply bottlenecks and the conflict in Ukraine. We analyze spillover effects on transport services prices as an aggregate, and separately for different modes of passenger transport, which include air passenger transport, sea and waterway passenger transport and railway passenger transport. We find that the effect of crude oil price on the Harmonized Index of Consumer Prices (HICP) of transport services is positive and statistically significant at 5% level. However, the effect of crude oil price on HICP of transport services varies across countries and different modes of passenger transport. The effect of crude oil price increase is less pronounced for road transport than for air and sea and waterway passenger transport, while the highest effect is estimated for air passenger transport. In contrast, recent oil price shock did not have a statistically significant effect on HICP of passenger railway transport. Overall, recent oil price shock had a limited impact on consumer prices of transport services in the EU. This can be mainly attributed to the implementation of targeted policy measures across the EU aimed at mitigating the inflationary effects of the global energy crisis.

OIL PRICE SHOCKS, ECONOMIC POLICY UNCERTAINTY, AND GREEN FINANCE: A CASE OF CHINA

This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China’s green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.

Dynamic risk resonance between crude oil and stock market by econophysics and machine learning

Changes in crude oil prices have a strong impact on global stock markets. As the largest importer of crude oil, China’s international crude oil market and stock market have a strong risk of contagion. It is of great significance to study the stochastic resonance effect between crude oil market and Chinese stock market. This paper proposes the dynamic risk resonance analysis method based on econophysics and machine learning. From the perspective of stochastic resonance in nonequilibrium statistical physics, we set up a new periodic capital asset pricing model based on econophysics and asset pricing theory, and introduce signal power amplification to describe the risk resonance effect of crude oil price and Chinese stock market. Then, we analyze the dynamic risk resonance between crude oil and stock market impacted by systemic risk and investor heterogeneity. The results demonstrate that: (1) Based on machine learning and predictive testing, the in-sample and out-of-sample forecasting results show that the proposed new periodic model has better fitting performance than the benchmark model; (2) There are optimal system parameters and period information to minimize the risk resonance effect between two markets; (3) The existence of optimal investor heterogeneity leads to inverse resonance behavior between the two markets, which greatly reduces the contagion of market risks.

Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices.

This study aims to investigate the time-varying spillover effects of the U.S. climate policy uncertainty (U.S. CPU) shock on crude oil prices and exchange rates by utilizing the DCC-GARCH connectedness approach. The results show that U.S.CPU is the largest net transmitter, followed by the crude oil price. Our outcomes also indicate that the Italian currency is the main net recipient and further reveal the pass-through effect of crude oil prices between U.S. CPU and exchange rates.

HAM PETROL FİYATLARININ TÜRK LİRASININ REEL EFEKTİF DÖVİZ KURU ÜZERİNDEKİ ETKİSİ: KANTİL ARDL YAKLAŞIMI

Bu çalışmada ham petrol fiyatlarının Türk lirasının reel efektif döviz kuru üzerindeki olası kısa veya uzun dönemli etkisi, petrol fiyatlarındaki değişmelerin reel efektif döviz kuru üzerinde asimetrik bir etkisi olabileceğini de göz önünde bulunduran kantil otoregresif gecikmesi dağıtılmış (QARDL) model yardımıyla incelenmektedir. Bu amaçla 2003 yılı Ocak ayı ve 2021 yılı Temmuz ayı arasını kapsayan aylık verilerle çalışılmış, serilerin durağanlıkları ve dağılımları öncelikle geleneksel testler yardımıyla incelenmiş, daha sonra normal dağılmadıkları tespit edilen serilerin durağanlıkları ayrıca kantil genişletilmiş Dicky-Fuller (QADF) yöntemiyle test edilmiştir. Elde edilen bulgular uzun dönemde petrol fiyatlarının reel efektif döviz kuru üzerinde etkili olmadığını, ancak kısa vadede etkili olduğunu ve bu etkinin asimetrik olduğunu göstermektedir.