Effects Of Oil Prices Research Articles

Asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on clean energy prices.

We investigate the asymmetric effects of climate policy uncertainty (CPU), geopolitical risk (GPR), and crude oil prices (WTI) on the realized volatility of the returns of clean energy prices (CEP) in the USA. Using the non-linear autoregressive distributed lags (NARDL) model on data from January 2001 to December 2021, we provide evidence that the effects of CPU, GPR, and WTI on CEP's returns and realized volatility differ in the short and long run and are asymmetric. An increase and decrease in CPU affect CEP's realized volatility more than returns in the long run. Notably, an increase in CPU positively affects the CEP's returns, and a decrease negatively affects CEP's returns in the short run. Moreover, an increase in GPR exerts higher effects on returns in the short run, while both an increase and a decrease in GPR have significant long-run effects. An increase or decrease in WTI shows higher effects on CEP's returns and realized volatility in the long run, while an increase in WTI shows short-run effects. Our findings provide valuable information for making investment decisions while considering the asymmetric effects of climate policy uncertainty, geopolitical risks, and crude oil prices.

How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries

In this paper, we explore the effect of global crude oil price on the economic policy uncertainty (EPU) in BRICS countries. For this purpose, we have adopted the hybrid wavelet artificial neural network model (wavelet-ANN) and the threshold vector auto-regression model (TVAR) to decompose the global crude oil price series into different market participants' horizons and to examine its comprehensive and detailed impact on different underlying oil price change regimes. The empirical results are as follows: Firstly, we find that oil price has heterogeneous effects on EPU in different BRICS countries. In contrast, the EPU of oil importers among BRICS countries (China and India) significantly negatively affect global oil price in the long run. Secondly, in each country, the influence of oil price on EPU shows a nonlinear and asymmetric feature. For China, a significant effect exists in the high-fluctuation regime in the short run. Moreover, the significant negative response of Brazil's EPU to oil prices also occurred in the high-fluctuation regime. Regarding Russia, the significant negative effect occurs in the low-fluctuation regime. Similar results can also be found in India. In the long run, only in India, the fluctuation of global crude oil price has a significant positive impact on India's EPU.

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.

Revisit of Tunisia’s Money Demand Function: What About Oil Price and Exchange Rate Effects?

This paper examines the long run and short run dynamic relationship between real broad money and macroeconomic factors in Tunisia for the period 2010M01 to 2019M07. We employ linear and NARDL bound testing approach for co-integration between the money demand measure and its determinants. Three real broader money demand variables (M2, M3, and M4) are considered to show that exchange rate have asymmetric significant effects once we introduce nonlinearity in the long run as well as in the short run association. Then, by using the (Shin et al., 2014) NARDL approach, we show that currency appreciation and depreciation could affect the demand for money in an asymmetric manner. However, in the long run, it is only the oil price and Tunisian Dinar (TD) depreciation and appreciation which have significant effect out of the five considered macroeconomic factors (real income, interest rates, inflation, oil price, and the exchange rate). Besides, the QSUMSQ stability tests results reveal that only real M3 money demand function which is clearly stable. In implementing monetary policy, the Tunisian central bank (TCB) should target the M3 monetary aggregate and take into account of the exchange rate changes stabilization.

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.

Harga Minyak Dunia Terhadap Harga Emas Di Indonesia

This study aims to examine and analyze the effect of exchange rates, stock prices, and world oil prices on gold prices in Indonesia. The data in this study are time series data from 2004 to 2019. This type of research is descriptive, the data used is secondary data in the form of monthly data from 2004 to 2019 in Indonesia. In this study using ARDL (Autoregressive Distributed Lag) regression with Eviews 9. The test results (1) the gold price variable in the past from 2004 to 2019 had a positive and significant effect on gold prices in Indonesia; (2) the exchange rate variable from 2004 to 2019 showed positive and significant results; (3) on the other hand, stock prices and world oil prices show a negative but not significant relationship.

Stock and oil price returns in international markets: Identifying short and long-run effects

This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil price returns in the short-term, while increases in volatility (changes in VIX or geopolitical risk) have negative effects on stock markets. Dynamic OLS (DOLS) estimators show in the long-run positive oil price effects on stock markets for oil-exporters and relatively weaker negative evidence for oil-importers. Interest rate increases have strong negative effects in the long run. Panel analyses shed further light on these results along with structural breaks. Our findings suggest complementary insights from the DOLS long-run approach: oil prices and bond yields have expected signs and volatility has mixed effects on stock markets.Supplementary InformationThe online version contains supplementary material available at 10.1007/s12197-022-09602-x.

The asymmetric effect of eco-innovation on the energy consumption structure: the US as a case study

PurposeOne of the most important ways to pay attention to sustainable economic development is to invest in green technology and alter the energy consumption structure (ECS) in countries. Changing the ECS can be important in two ways: first, it increases the diversity of energy consumption and reduces energy dependence on other countries. Second, the use of highly polluted nonrenewable energy sources (such as oil and coal) is reduced, leading to the transfer of energy to natural gas with less carbon emissions or renewable energy. To this end, the authors examined the asymmetric effects of eco-innovation on the US ECS from 1980 to 2019. This paper aims to address this issue.Design/methodology/approachIn this research, the nonlinear autoregressive distributed lag (ARDL) (NARDL) model is used and the results are compared with the linear ARDL model.FindingsThe ARDL results also confirm the positive effects of oil prices and GDP per capita in the long run. On the other hand, short-term and long-term Wald test results confirm the nonlinear effects of eco-innovation (LPATENT) on US ECS. These results indicate that 1% positive shock in LPATENTˆ+ increases the ECS by 0.179, while 1% negative fluctuations (LPATENTˆ-) leads to a decrease (−0.085) in the ECS. However, the ARDL results, in general, show the positive effects of LPATENT on the ECS in long run. Evidence suggests that ignoring nonlinear effects can lead to inaccurate results. Policy suggestions for environmental technology innovation are presented in the results.Originality/valueThis research has innovations in various aspects so that the previous studies in this field have examined the effects of environmental innovation on renewable or nonrenewable energy consumption, and so far no study has been done on the ECS. In this research, the Shannon–Wiener index has been used to calculate the ECS.

Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time‐varying pass‐through coefficients

This paper estimates the exchange rate and oil price pass-through to South African domestic prices (ERPT and OPPT, respectively). This study adopts a novel approach to compute pass-through coefficients along the pricing channel using the time-varying responses of the time-varying parameter (TVP)-VAR model. Our findings show that both ERPT and OPPT are incomplete, despite varying responses to local and global economic events that cause fluctuations in the exchange rate and oil prices. The ERPT coefficients have peaked in 1998 and 2001, coinciding with the crisis that caused the excessive depreciation of the domestic currency. The OPPT coefficients, on the other hand, reach their maximum effect during the 2008 global financial crisis. Our findings do not reveal a significant decline in ERPT compared with the 1980s. In contrast to a significant first-stage effect, the direct ERPT and OPPT coefficients are found to be insignificant. The findings also show that direct OPPT to consumer fuel prices is significantly higher than that of import prices.

Crude Oil Prices and Currency Exchange Rates’ Impact on the Indonesian Energy Stock Market during the Covid-19 Pandemic

This study examines the effect of oil prices and currency exchange rates on the Indonesian Energy Stock Market, which was listed on the Indonesian Stock Exchange from 2020 to 2022. The purpose of this study is to select samples from the entire population. This study employed the ADF and Zivot-Andrews (1992) unit root test analyses. To begin, causality between the variables was established. The data suggested that alternate fees, closing price, and trade rat are causally related. The VAR method was used to investigate the short-term effects of the variables At the same time, oil prices have a beneficial effect on closing costs, trading prices experience closing post costs and Currency Exchange Rate prices During the Covid-19 Pandemic.

PENGARUH HARGA MINYAK DUNIA, INFLASI, DAN EKSPOR NETO TERHADAP PERTUMBUHAN EKONOMI DI INDONESIA

This study examined the effect of world oil prices, inflation, and net exports on economic growth in Indonesia. This study used time-series data from 1981-to 2020 obtained from the Central Bureau of Statistics of Indonesia and Bank Indonesia. The data were then analyzed using Autoreggresive Distributed Lagregression analysis with the help of Eviews. The results indicated that oil prices and net exports positively and significantly influenced economic growth in Indonesia. It means that if oil prices and net exports increase, then economic growth in Indonesia will also increase. Meanwhile, inflation negatively and insignificantly influenced economic growth in Indonesia. It indicates that if inflation increases, the economic growth in Indonesia will decrease.

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.

Moderating Effects of Oil Price on the Impact of Macroeconomic Variables on Stock Market Performance

This study makes examination of the moderating effects of oil price on the impact of inflation, exchange rate and interest rate variables on stock market performance as proxied by the Tanzania All Share Index. It uses monthly time series from January 2009 to December 2019. The model capturing the direct impact of the macroeconomic factors on the index of stock market shows that exchange rate and interest rate exert positive and significant impact on the stock market performance, while, inflation has negative and significant effects on the stock market performance. The moderating effect model shows that oil price has a moderation effect on the effect of inflation on stock market performance. It also reveals that the impact of exchange rate on stock market performance is strengthened by changes in oil price thus suggesting a positive moderation. The results imply that a growing economy and oil importing country like Tanzania needs to properly model its macroeconomic variables with oil price in order to improve performance of stock market.

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.

Spillover of international crude oil prices on China's refined oil wholesale prices and price forecasting: Daily-frequency data of private enterprises and local refineries

Compared with retail prices of state-owned companies used in almost all existing studies, China's refined oil wholesale prices of private enterprises and local refineries are more affected by the market and better reflect the real supply-demand situation. For the first time, this paper applies own-monitored daily-frequency wholesale prices of China's private enterprises and local refineries during 2013–2020 to derive spillover effects of international crude oil prices on China's refined oil prices through the VAR-BEKK-GARCH (vector autoregression-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroscedasticity) model, and then tries to forecast wholesale prices through the PCA-BP (principal component analysis-back propagation) neural network model. Results show that international crude oil prices have significant mean spillover and volatility spillover effects on China's refined oil wholesale prices. Changes in crude oil prices are the Granger cause of changes in refined oil wholesale prices. With the improvement of China's oil-pricing mechanism in 2016, the volatility spillover from the international crude oil market to China's refined oil market gradually increases, and the BRENT price variation has an increasing impact on the refined oil wholesale price variation. The PCA-BP model could serve as a candidate tool for forecasting China's refined oil wholesale prices.

An Assessment of the Impact of Natural Resource Price and Global Economic Policy Uncertainty on Financial Asset Performance: Evidence From Bitcoin

The aim of this study is to gauge the impact of global economic policy uncertainty and natural resource prices, that is, oil prices and gold prices, on Bitcoin returns by using monthly data spanning from May 2013 to December 2021. The study applies ARDL and nonlinear ARDL for evaluating the symmetric and asymmetric effects of Global Economic Uncertainty (GU), oil price (O), and natural gas price on Bitcoin volatility investigated by using the ARCH-GARCH-ERAGCH and non-granger causality test. ARDL model estimation establishes a long-run cointegration between GU, O, G, and Bitcoin. Moreover, GU and oil price exhibits a negative association with Bitcoin and positive influences running from gold price shock to Bitcoin in the long run. NARDL results ascertain the long-run asymmetric relations between GU, oil price, gold price (G), and Bitcoin return. Furthermore, GU’s asymmetric effect and positive shock in gold price negatively linked to Bitcoin return in the long run, whereas asymmetric shock in oil price and negative shocks in gold price established a positive linkage with Bitcoin. The results of ARCH effects disclose the volatility persistence in the variables. The causality test reveals that the feedback hypothesis explains the causal effects between GU and Bitcoin and unidirectional causality running from Bitcoin to gold price and oil price to Bitcoin.

Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis

This study examines the effects of oil prices and exchange rates on stock market returns in BRICS countries (Brazil, Russia, China, India and South Africa) from a time–frequency perspective over the period 2009–2020. We use wavelet decomposition series to develop a threshold rolling window quantile regression to detect time–frequency effects at various scales. The empirical results are as follows. First, our findings confirm that the effects of both crude oil prices and exchange rates on BRICS stock returns are asymmetric. Positive shocks of crude oil have a greater impact on a bull market, whereas negative shocks have a greater impact on a bear market. Second, there is a short-term enhancement effect of crude oil and exchange rate on BRICS stock markets. In addition, volatility in the macro financial environment also exacerbates the impacts of oil prices and exchange rates on the stock market, and these fluctuations are heterogeneous. Overall, these findings provide useful insights for international investors and policy makers.

Impact of the twin pandemics: COVID-19 and oil crash on Saudi exchange index.

This study aims to explore the effects of COVID-19 indicators and the oil price crash on the Saudi Exchange (Tadawul) Trading Volume and Tadawul Index (TASI) for the period from January 1, 2020, to December 2, 2020. The independent variable is oil price, and the COVID-19 indicators are lockdown, first and second decreases of Repo and Reverse Repo rates, Saudi government response, and cumulative deceased cases. The study adopts two phases. In the first phase, linear regression is used to identify the most influential variables affecting Trading volume and TASI. According to the results, the trading volume model is significant with an adjusted R2 of 65.5% and a standard error of 81. The findings of this model indicate a positive effect of cumulative deceased cases and first decrease of Repo and Reverse Repo rates and a negative effect of oil prices on Trading Volume. The TASI model is significant with an adjusted R2 of 86% and a standard error of 270. The results of this model indicate that lockdown and first decrease of Repo and Reverse Repo rates have a significant negative effect on TASI while the cumulative decrease in cases and oil prices have a positive effect on TASI. In the second phase, linear regression, and neural network predictors (with and without validation) are applied to predict the future TASI values. The neural network model indicates that the neural networks can achieve the best results if all independent variables are used together. By combining the collected results, the study finds that oil price has the most substantial effect on the changes in TASI as compared to the COVID-19 indicators. The results indicate that TASI rapidly follows the changes in oil prices.

Impact of Foreign Direct Investment, Rising Oil Prices, and Industry Value Added on Economic Growth of Pakistan

Rising oil prices, foreign direct investment, and industrial value-added are the key component that affects the economic stature of a country. This study locates the relationship between FDI, rising oil prices, and industry value added on the economic growth of Pakistan. To do the analyses, data length ranging from 1980 to 2020 was used. For the regression results, the analytical technique of Autoregressive Distributed Lag (ARDL) is incorporated. The empirical results show that FDI encourages economic growth. Nevertheless, industry value added is also located for positive affectation on economic growth. However, rising oil prices are found to have negative effects on economic growth. Similarly, the combined effect of oil prices and FDI are found discouraging for economic growth. As a policy option, the government of Pakistan must need to encourage FDI inflows and should step up toward industrialization. On the other side, rising oil prices be controlled at the maximum extent as it is damaging to economic prosperity.

THE ANALYSIS OF THE TRADE BALANCE OF TURKEY IN RESPONSE TO OIL PRICE CHANGES

This study empirically examines the effects of oil prices on the trade balance of Turkey, which depends heavily on oil imports. Unlike the other studies on this subject, in this study, the relationship between oil prices and trade balance is investigated by regime-dependent impulse response functions and forecast error decompositions based on multivariate Threshold VAR (TVAR) model comparing with linear VAR model. The findings suggest that, the relationship between oil prices and trade balances is non-linear. In the regime of higher oil price volatility, components of trade balance respond stronger to oil price shocks than lower regime and linear VAR model. Oil price increases in the high regime deteriorates the total trade balance, non-oil and non-gas trade balance and intermediate trade balance; on the other hand, consumption trade balance of Turkey is positively affected from oil price increases. Additionally, consumption goods trade balance found to be the mostly affected by oil price shocks according to the impulse-response functions and variance decomposition analysis. Finally, the findings obtained from linear VAR and lowest regime are generally similar and has less effect on the trade balance components.