Effects Of Oil Price Shocks Research Articles

The Effect of Oil Price Shocks on Saudi Arabia’s Economic Growth in the Light of Vision 2030 “A Combination of VECM and ARDL Models”

The Effect of Oil Price Shocks on Saudi Arabia’s Economic Growth in the Light of Vision 2030 “A Combination of VECM and ARDL Models”

Asymmetric Effects of Oil Price Shocks on Eur/Usd Exchange Rate in a Bvar Model with Sign Restriction

Asymmetric Effects of Oil Price Shocks on Eur/Usd Exchange Rate in a Bvar Model with Sign Restriction

The Asymmetric Effects of Oil Price Shocks on Green Innovation

The Asymmetric Effects of Oil Price Shocks on Green Innovation

Comparing the Effect of Intangible Assets and Macroeconomic Parameters on the Stock Prices in Firms Listed on the Stock Exchange of Iran, Saudi Arabia and Iraq

Comparing the Effect of Intangible Assets and Macroeconomic Parameters on the Stock Prices in Firms Listed on the Stock Exchange of Iran, Saudi Arabia and Iraq

Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework

Oil price shocks and economic policy uncertainty are the two main drivers of many macroeconomic and financial variables. In the context of commodity financialization, these two shocks are more interrelated and even have a combined effect on the precious metals market. Therefore, using the time-varying parameter vector autoregression (TVP-VAR) framework, we actively analyze the dynamic impacts of oil price shocks and economic policy uncertainty on precious metal returns using monthly data from April 1990 to April 2018. The results show that oil price shocks had positive effects on precious metal returns before the international financial crisis, while these impacts have been negative since the international financial crisis. The impacts of economic policy uncertainty on precious metal returns change over time and are positive in most cases. The effects of oil price shocks on precious metal returns are amplified by economic policy uncertainty. In the field of transmission channels of economic policy uncertainty, we find that news uncertainty and inflation uncertainty are the most significant. In addition, during a major economic crisis or emergency, we discover some evidence of overreactions in the precious metal markets.

Oil price shocks and the US stock market: A nonlinear approach

We study the response of US stock market returns to oil price shocks and to what extent it behaves asymmetrically over the different phases of the business cycle. For this purpose, we decompose the oil price changes into supply and demand shocks in the oil market and assess the state-dependent dynamics of structural shocks on US stock returns using a smooth transition vector autoregression model. When nonlinearity is considered, quantitatively very different asymmetric dynamics are observed. Our findings show that the responses of US stock returns to disaggregated shocks are asymmetric over the business cycle and that the impact of demand-driven shocks on US stock returns is stronger and more persistent, especially when economic activity is depressed. Furthermore, the contribution of shocks to expectation-driven precautionary demand in recessions accounts for a larger share of the variability of US stock market returns than that predicted by standard linear vector autoregressions. • State-dependent effect of oil price shocks on US stock returns is investigated. • We decompose oil price changes into supply and demand shocks. • A smooth transition VAR is used for asymmetric dynamics over the business cycle. • Demand-driven shocks are larger and more persistent during recessions. • Oil price shocks explain around 40% for US stock market variations in recessions.

The asymmetric effects of oil price shocks on the U.S. stock market

In this paper, we investigate the asymmetric relation between the price of crude oil and U.S. aggregate real stock returns. In doing so, we estimate a nonlinear bivariate structural vector autoregression that includes the effects of oil price volatility on stock returns. We use the estimates of our nonlinear model to calculate the responses of stock returns to unexpected increases and decreases in prices of crude oil and conduct a test of symmetry on these responses. In contrast to the existing literature, we find that aggregate returns respond asymmetrically to positive and negative oil price shocks, and oil price volatility plays a major role in asymmetries by having a negative effect on stock returns. Our empirical results hold in case of disaggregate returns, after reestimating our nonlinear bivariate model with the returns of various industries.

How does purchasing power in OPEC countries respond to oil price periodic shocks? Fresh evidence from Quantile ARDL specification

AbstractThis study provides new insights on the dynamics of oil price shocks and purchasing power (PP) in the top six OPEC economies using the Quantile ARDL modelling technique. Notably, previous studies were largely silent about the impact of oil price periodic shocks on PP. To fill this gap, we used quarterly data of oil prices and PP from 1990Q1 to 2019Q4 drawn from relevant data hosts. Empirical evidence reveals that the effects of oil price shocks vary across the distributions of PP in all the countries. Equally, there is evidence of long‐run asymmetric pass‐through from oil prices to PP in Saudi Arabia, whereas, short‐run asymmetric effects were recorded in Nigeria, and UAE. Also, evidence indicates that PP in Saudi Arabia, Nigeria and Angola experience a sharp decline in response to persistent oil price shocks. Additionally, PP in UAE and Algeria witnessed momentary boosts only at quantiles above the mean; however, it fizzles out thereafter. In Kuwait, there is evidence of short‐run boost without corresponding long‐run effects. The findings of this study have important policy implications.

Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model

The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

Which has Higher Real Effects on an US Unincorporated Territory, The Price of Crude Oil or the Monetary Policy?

Puerto Rico is an unincorporated territory of the United States of America. As part of the political-economic arrangement between both political entities, Puerto Rico does not control the local price of oil because it does not have domestic sources of oil, and it does not control its monetary policy, as that is a right reserved by the U.S. Federal Reserve System. This paper investigates the impacts of exogenous shocks of oil price and monetary policy on the Economic Activity Index, Puerto Rico Consumer Price Index, total non-farm employment, electricity consumption, gasoline consumption, and cement sales. Impulse response functions are used to study the oil price and monetary policy shocks. The oil price shock had a more significant effect on gasoline consumption than on electricity consumption. Monetary policy shocks had a higher magnitude on electricity consumption than on gasoline consumption. The monetary policy and oil price shock had minimal effect on the aggregated endogenous variables, Economic Activity Index, and Puerto Rico Consumer Price Index. This study suggests that individuals in Puerto Rico are vulnerable to a volatile oil market. Also, both exogenous variable shocks had minimal impact on employment. As for future steps, it would be prudent to investigate the effect of both exogenous variables on individual employment sectors, not aggregated. Besides, the government of Puerto Rico should develop policies to minimize the effect of oil price shocks.

Examining the asymmetric effects of oil price shocks on remittances inflows: evidence from Nigeria

Examining the asymmetric effects of oil price shocks on remittances inflows: evidence from Nigeria

Intra-federal effects of oil prices: Evidence from Canada

Substantial endowments of extractive resources often pave the way to resource dependence for countries, making them vulnerable to price shocks and stymying economic growth. However, resource-endowed regions within countries may be immune to the adverse effects of resource booms. In fact, resource endowments may even prove to be blessings for such regions. Using Bayesian Structural Vector Autoregression, we examine these possibilities by studying the intra-federal effects of oil price shocks on ten Canadian provinces' outputs and labour markets. We show that the manufacturing sectors of Alberta and Saskatchewan, two resource-rich provinces, expand (contract) during oil booms (busts); also, their responses are persistent. The services sectors of these provinces also expand, albeit to a lesser extent. Contrastingly, in Newfoundland and Labrador, another resource-rich province, resource booms do not affect the manufacturing sector. In general, the provincial services sectors are insensitive to oil price shocks. Considering the characteristic volatility of oil markets and the services sectors' insensitivity to oil price shocks, curating a diversified services-centric economy that is not tethered to the oil and gas industry would serve these provinces well.

The dynamic effects of international oil price shocks on economic fluctuation

This paper mainly focuses on the dynamic effects of oil price shocks on macroeconomics and different industries. Specifically, we examine the corresponding dynamic influence mechanism, as well as analyzing the sources of structural shocks that drive oil price fluctuations. Since the oil prices fluctuation generates endogenous effects on the macroeconomic dynamics, it is appropriate to use the shocks of oil price fluctuations as structural shocks. Then the structural vector autoregressive (SVAR) model is employed for analysis. And we utilize the Bayesian estimation method that fully recognizes prior information to estimate the SVAR model, with which the impact of structural shocks that cause international oil price fluctuations are examined. Further, the influences and impact mechanism of oil supply shocks, specific demand shocks, and aggregate demand shocks on Chinese industry economies are examined. Empirical studies have found that the influence of oil supply has caused reduction in oil production. In the short term, the shocks of oil supply and specific demand in the oil market lead to rising oil prices, thus curbing economic output. The rise of oil prices caused by aggregate demand shocks will expand economic output. The shock of aggregate economic demand acts as the main source of oil price shocks, and the specific demand of the oil market generates more restraining effects on economic output than that of oil supply and aggregate demand. Seen from the heterogeneity of light and heavy industries, energy-intensive industries are less affected by the supply and demand shocks than other industries due to the impact of government subsidies and the state-owned enterprise equity system. The impact of specific demand shocks of oil prices on industrial output is higher than that of supply shocks and demand shocks. The conclusion provides reference for adopting strategies to cope with oil prices fluctuation from the perspective of national security, so as to establish diversified oil reserve system, avoiding risks in the energy derivatives market.

The time-varying responses of financial intermediation and inflation to oil supply and demand shocks in the US: Evidence from Bayesian TVP-SVAR-SV approach

The perception of the pass-through of oil price shocks on the real and financial spheres has undergone considerable evolution with the emergence of a literature devoted to the sources of oil price fluctuations. This perception is also found to evolve over time depending on market expectations, structural changes or crises. Focusing on the specific case of the US, this paper investigates the time-varying effects of oil price shocks on financial intermediation (credit market) and inflation as a transmission channel. Monthly data are used for a period that encompasses the recent Covid-19 pandemic crisis. Prior to the construction of a time-varying parameter structural vector autoregression stochastic volatility (TVP-SVAR-SV), a structural VAR (SVAR) model is estimated to disentangle oil price shocks in four shocks: oil supply, aggregate demand, domestic demand and oil-specific demand shocks. The results underscore the increasing response of financial intermediation to oil supply, aggregate demand and oil specific demand shocks since the shale revolution. In addition, the response of credit markets to aggregate demand shocks during the covid-19 pandemic is different from that observed during the subprime crisis. It appears also that the response of inflation influence the reaction of the credit market to aggregate and domestic demand shocks.

OIL PRICE SHOCKS AND OIL REVENUE: INVESTIGATING THE PROPOSITIONS FOR WELL-BEING IN NIGERIA

This paper analyzed and estimated the effects of oil price shock and oil revenue on well being in Nigeria for the sample period of 1980–2018. The Autoregressive Distributed Lag model (ARDL) estimated with the Ordinary Least Square technique was used to examine the relationship among the variables. Findings from the model revealed that there was a direct and significant relationship between oil revenue, private consumption, exchange rate, credit to the private sector and well being, however, credit to the private sector exhibited a positive and insignificant relationship on well being in the long run. There was a direct and significant relationship between the independent variables and well being in the short run; however, credit to the private sector indicated a negative but significant relationship. The study therefore recommended deepening savings during periods of increase in oil price for better economic outcomes.Keywords: Oil price shocks, oil revenue, exchange rate, private consumption, credit to the private sector. JEL Classifications: E39, K131, Q40 DOI: https://doi.org/10.32479/ijeep.10022

Oil-gold nexus: Evidence from regime switching-quantile regression approach

Previous Studies Examining The Oil-Gold Nexus Do Not Account For The Oil And Gold Markets Conditions Jointly. This Study Examines The Oil-Gold Price Relationship By Considering The Switching-Regime In Oil Price Shocks And The Gold Market Conditions. The Different Sources Of Oil Shocks (Supply, Demand, And Risk Shocks) Are Identified Based On The Recent Procedure Of Ready (2018), While The Effect Of Oil Price Shocks Is Investigated Based On A New Approach That Combines The Regime-Switching And Quantile-Regression Models. Results Suggest That The Response Of Gold Returns To Oil Price Changes Depends On The Forces-Driven Oil Shocks And The Gold Market Conditions. Moreover, Gold Price Responds More Intensively To Demand Shocks Rather Than Supply And Risk Shocks. We Also Confirm That The Gold Price Reaction To Oil Shocks Changes In Sign, Magnitude, And Significance According To Oil Price Shocks Regimes And Gold's Conditional Distribution. These Findings Have Important Implications For Investors Regarding The Hedging And Safe-Haven Role Of Gold Against Oil Shocks.

Oil price and stock market behaviour in GCC countries: Do asymmetries and structural breaks matter?

Although the relationship between the global oil and stock markets has been given extensive critical assessment in the literature, this study gives a re-examination of this nexus for the Gulf Cooperation Council countries with certain innovative contributions. We employ both the Symmetric ARDL by Pesaran et al. (2001) and Nonlinear ARDL by Shin et al. (2014) and we also account for structural breaks using the Bai and Perron (2003) test that allows for multiple structural changes in regression models. Using a weekly dataset from 1992-2016, we observe that most of the GCC stock markets respond asymmetrically to oil price. The need to account for structural breaks is also undeniably seen as the break dates are largely significant. We discovered some breaks which coincidentally correspond to the series of OPEC cuts of 1999, Asian demand soars of 2005 and global financial crisis of 2008, among others. Our robustness check suggests that global economic activity and geopolitical risks are very sensitive to oil price specification, however in a linear fashion which may change conclusions regarding the effect of oil price shocks on stock returns. In all, the findings of this study, especially the large asymmetric responses of the stock markets to oil price, have serious policy implications for the government of each country and potential investors because of their oil-dependent posture.

Oil Price Shocks and Stock Market Performance: A Non-Linear Approach (1986-2019)

This study investigated the asymmetric effect of oil price shocks on stock market performance in Nigeria. Secondary data covering the period between 1986 and 2019 were employed for this study. Quarterly data of brent crude price, all share index, real exchange rate and inflation rate were sourced from Central Bank of Nigeria Statistical Bulletin (2019), OPEC Statistical Bulletin (various publications) and Nigerian Stock Exchange Fact Book (2019). Data collected were analysed using Non-Linear Autoregressive Distributed Lag (NARDL). The NARDL results showed that in the long run, positive oil price shocks, (t= 5.39; p<0.05) had significant positive effect on stock market performance. Negative oil price shocks (t= 5.81; p<0.05) had significant positive impact on stock market performance. In the short run, current period negative oil price shock (t= 2.01; p<0.05) exert significant positive effect on stock performance while previous period positive oil price shocks (t= 1.94; p<0.05) pose significant positive effect on stock market performance in Nigeria. The study concluded that oil price shocks is a deterrent to stock market performance in Nigeria and the impact of oil price shocks on growth rate in Nigeria is both positive and negative. Keywords: Oil Shocks, GDP, Asymmetry, Stock Market, Stock Performance, NARDL DOI: 10.7176/JESD/12-14-09 Publication date: July 31 st 2021

OIL PRICE FLUCTUATION AND CURRENT ACCOUNTS: EXPLORING MEDIATION EFFECTS FOR OIL IMPORTING NATIONS

The study is an attempt to examine empirically the effects of oil price shock on current account imbalances. The analysis is carried out on the cross-country panel of 160 countries that are divided into three different groups base on their level of oil imports. The relationship between the oil price shock and current account imbalances is rigorously assessed using two different approaches. Firstly, the seemingly unrelated regression models are used to estimate the effects of oil price shock on current account imbalances with transmission channels namely trade, valuation, and wealth. Secondly, to examine the indirect effects of oil price shock three different mediator effects that direct, indirect, and total are estimated. The findings of the study reveal that for all three groups of countries the oil price shock pose a positive effect on the current account through the trade channel. Whereas, the current account of all three groups is negatively associated with oil price shock with the wealth channel. The valuation channel holds a mix results across country groups about the effect of oil price shock on the current account balances. In the case of low and major oil importer countries, oil price shock is negatively associated with the current account, whereas the current account of medium oil importer countries is improving with an increase in oil prices. The mediation analysis holds mix results across groups of countries. Keywords: Current-account imbalances; oil importing economies, seemingly unrelated regression; mediation effectsJEL Classifications: F4; F41DOI: https://doi.org/10.32479/ijeep.11044

The Effect of Oil Price Shock and Inflation on Stock Returns: A Comparative Study on ASEAN-3

This study aims to examine the effect of the WTI type oil price shock and inflation on stock returns from the ASEAN-3 capital markets, namely Indonesia, Thailand, and Philippines. The data used are monthly data from 2015 to 2019. The data analysis technique used is multiple linear regression. The results showed that oil price shocks had a significant positive effect on stock returns on the JASICA Mining index and the SET Resources index, but had no significant effect on the PSE Mining and Oil index. Furthermore, inflation had a significant positive effect on stock returns of Indonesia seen from the JASICA Mining index. Whereas, inflation had no significant effect on the SET Resources index of Thailand and the PSE Mining and Oil stock index of Philippines. Keywords: Oil price shock, Inflation, Stock return