Oil Price Fluctuations Research Articles

Extreme risk measurement for the oil and China’s sectors system—network-based approach and machine learning methods

China is a large oil-consuming country, and sharp fluctuations in oil prices are bound to be detrimental to the stable growth of its economy. Therefore, accurately grasping the impact of the oil market on China’s sectors is the key to ensuring its healthy economic development. The article aims to explore the extreme risk transfer link of the oil and China’s sectors system, focusing on uncovering the risk spillover mechanism of the oil and providing early warning on it. We apply the TENET method to discuss risk propagation relationships within the oil and sectors system at three levels. The TVP-VAR model is brought in to recognize the factors affecting risk spillover in the oil market from the network correlation perspective. Finally, early warning of oil risk spillover is provided by incorporating the influencing factors into a machine learning model. The outcomes indicate that the risk connectivity of the oil and China’s sectors system is highly correlated with extreme events. There are variations in the spillover effects of oil market risk on different sectors, with Telecommunication Services, Utilities, Financials and Major Consumer sectors being the main bearers of the oil risk shocks. Overall, oil risk spillovers are mainly driven by economic policy and geopolitics, but oil price uncertainty is found to have a persistent impact on oil market risk spillovers in the dynamic analysis. Random forest model can provide effective early warning of oil risk spillovers. In addition, the significance analysis shows that oil price uncertainty and inflation are important factors affecting oil risk spillovers and are nonlinearly correlated with them.

Oil Price Fluctuation And Exchange Rate In Nigeria: Is There A Volatility Transmission Effect

Over the period 1980-2022, we examined the transmission effect of oil prices on Nigeria's exchange rate. E-GARCH (Exponential GARCH) model is employed in this study. We used Augmented Dickey Fuller to determine a unit root, integrating exchange rates, crude oil prices, external reserves, GDP, inflation, and interest rates to one I(1) and zero I(0). We used Johansen Co-integration to determine long-term relationships. Interest rates, inflation, and crude oil prices all correlated positively with each other. A statistically insignificant result is shown by the variance equation, indicating there is no correlation between crude oil prices and exchange rates. The Nigerian exchange rate is not affected by volatility transmission or leverage due to fluctuations in crude oil prices. According to the study, governments should take monetary policy measures to stabilize exchange rates during unpredictable oil price fluctuations. It is necessary to adjust the naira exchange rate when oil prices fluctuate.

The Effectiveness of Financial Sustainability in Targeting Inflation, Nigeria as a Model for the Period 2004-2040

Creating a sovereign fund financed by Nigeria's oil surpluses is a significant objective. Rentier countries tend to see their current operating expenditures increase in tandem with oil revenue growth, surpassing the growth of the gross domestic product. This points to a structural deficit resulting from excessive spending. The government controls the money supply by managing the monetary base, which, in turn, is influenced by foreign reserves. Therefore, the study focused on assessing the effectiveness of fiscal policy tools and financial sustainability in addressing inflation. The goal is to predict these financial variables accurately until 2040 to safeguard monetary stability against fluctuations in oil prices. Utilizing the autoregressive model and moving averages (ARIMA), the study aims to address government spending growth, primarily driven by the monetization of oil revenues. This has led to a structural deficit within the Nigerian economy, which needs to be curbed by the effectiveness of the sovereign fund. This effectiveness is reflected in the concept of financial sustainability, with a focus on targeting inflation through what is known as nominal financial wealth. This translation of economic sustainability into tangible financial wealth does not adequately clarify the increase in non-oil output achieved through investment spending. The latter, in turn, results in actual growth in non-oil revenues, which is essential for addressing inflation through fiscal policy tools. In a rentier economy reliant on oil, achieving economic stability isn't assured solely by a balanced budget. It's crucial that public spending is managed with a level of independence from fluctuations in oil prices. The study's findings demonstrate the relative effectiveness of the financial sustainability forecasting model in influencing inflation targeting in the Nigerian economy.

The dynamic nexus of oil price fluctuations and banking sector in China: A continuous wavelet analysis

The fluctuations in World and national energy prices and energy policies might affect the financial and real sectors. This paper focuses on the nexus between oil prices and bank credits in China through continuous wavelet analyses in the following distinct ways. First, we observe the potential effects of oil prices on Chinese claims on the private sector by following the whole sample data, and, sub-samples of the data. Secondly, we account for higher and lower frequencies for sub-samples and the whole sample in the dynamic interaction between oil prices and Chinese claims on the private sector. Thirdly, this study provides more insight into understanding the influence of oil prices on the supply of credits through time-varying estimations at different scales (frequencies). The continuous wavelet analyses demonstrate a positive impact of Chinese oil prices on the Chinese claims on the private sector from 1999:06 to 2019:02 at a 3-8-year cycle which corresponds to the full liberalization of the Chinese domestic oil market. The positive effect of the world oil price on claims on the private sector is, however, restricted only for the sub-period 2005–2012 due to a relatively lower degree of regulation of the Chinese domestic market during this sub-period.

Does oil price volatility influences carbon emission trends and financial concerns of oil industry?

This analysis explores the complicated relationship between oil price fluctuations, the oil industry's finances, and the resulting increase or decrease in carbon emissions. Oil price changes have far-reaching effects on the global economy because of its dependence on fossil fuels; therefore, understanding these patterns is essential for effective policymaking and long-term energy planning. The study uses a dataset built from secondary data collected in China over 15years, starting in 2008 and ending in 2022. This information comes from a wide range of authoritative places, including public records, trade journals, university studies, and the records of international organizations, and provides a solid foundation for study. Oil prices on a global and national scale, oil sector financial performance indicators (such as revenues, earnings, and investment levels), and carbon emission statistics are all significant factors under investigation. As one of the world's largest oil consumers, China has been singled out in this study to allow for a more comprehensive analysis of reactions within this crucial subset of the energy industry. To understand the complex interplay between oil price shocks, the financial dynamics of the oil sector, and carbon emissions, the research utilizes statistical and econometric methods, most notably time-series analysis and regression models. The results are meant to shed light on how oil price shocks consistently affect the monetary aspects of the oil business and, by extension, the patterns in carbon emissions. This study helps us understand these vital interrelationships more completely and nuancedly.

International Oil Price and Domestic Refinery Price: Empirical Evidence for Greece

Fuel prices and the pronounced fluctuations in the international oil market are among the most widely discussed topics worldwide. Recent international developments, including energy crises, have resulted in a substantial surge in global oil prices, leading to price increases across all countries and in all petroleum products. This paper investigates the correlation between international oil prices and refining costs in Greece. More specifically, this study focuses on how rapidly refinery prices respond to potential increases or decreases in the international oil price, commonly known as the ’Rockets and Feathers’ phenomenon. The investigation assesses the reaction of diesel and gasoline refinery prices to fluctuations in the international oil price and explores the potential presence of asymmetry. The econometric model employed is based on an asymmetric error correction model, utilizing weekly data spanning from 2013 to 2022 for Greece. According to our findings, both diesel and 95-octane gasoline prices exhibit an asymmetric response to international oil prices. Notably, refinery prices react more promptly to price increases than to decreases in the global oil price. This study holds particular significance, as this delay is reflected in final retail prices, indicating the possible existence of pricing asymmetries. Additionally, the issue of oil purchase contracts arises, which guarantee a fixed price regardless of the prevailing international oil price at the time and, consequently, do not justify such fluctuations in refinery prices. These findings could prove valuable for competition policy within Greece’s vertical oil market.

A Study on the Influence of Oil Price Fluctuations on Agricultural Value-Added

Recently, the volatility of oil prices has significantly increased due to various factors. This study aims to analyze the influences of oil price fluctuations on agricultural value added, with a particular focus on comparing the magnitude of ripple effects across different categories. In order to achieve this, we designated not only oil prices but also exchange rates and the prices of three grains as random variables, and developed a stochastic model that considers their correlations. When oil prices fluctuate within expected ranges, it was analyzed that agricultural value-added changes by approximately 540 billion KRW. When examined by category, it was found that fruit-bearing vegetables exhibited the largest ripple effect. As a policy alternative to alleviate the farmers’ operational risk, this study introduces margin insurance to effectively manage both the increases in input costs due to rising oil prices and the decreases in agricultural commodity prices.

The responsiveness of renewable energy production to geopolitical risks, oil market instability and economic policy uncertainty: Evidence from United States

This paper aims to investigate the responsiveness of renewable energy production (REP) to fluctuations in geopolitical risks, oil prices and economic policy uncertainty (EPU). It applies a cross-quantilogram framework to examine monthly data of the US economy for the period of 1986–2022. The findings illustrate the asymmetric effect of historical geopolitical risk (GPRH) on REP under long memory. The findings also hold after different subcategories of GPRH, including geopolitical threats and geopolitical acts, are considered. A positive shock in GPRH has the most decisive positive impact on REP when the policies are driven by both energy security and environmental commitments. A positive shock in GPRH can negatively impact REP when policies are driven by energy security causes only. EPU exerts strong negative effects on REP in bearish and bullish states of the market under medium and long memory across different measures of EPU. Dynamic connectedness analysis applying TVP-VAR method between pairwise variables indicates that net REP is a volatility receiver to the changes in GPRH, its subcomponents, oil prices and different measures of EPU.

The connectedness between uncertainty and exchange rates of oil import countries: new evidence from time and frequency perspective

In this study, we have empirically investigated the dynamic spillovers in the connectedness of global economic policy uncertainty and oil market volatility concerning exchange rates in crude oil-importing countries. Our findings reveal that global economic policy uncertainty consistently acts as a net recipient of spillovers, both in the short and long runs. Contrastingly, in the short term, oil market volatility emerges as a significant net transmitter of risk spillovers, with oil price fluctuations exerting a predominant influence on exchange rate volatility in nations reliant on crude oil imports. Remarkably, this relationship undergoes a notable reversal in the long run. In the long run, geopolitical uncertainty takes precedence, establishing itself as the primary net spillover factor, superseding the influence previously exerted by oil price volatility. These empirical insights offer valuable guidance for policymakers in effectively managing external shocks in the context of global economic uncertainties and oil market dynamics.

Role of Inclusive Finance on oil Resource production targets: How Fiscal Pressures influence natural resources policy and green recovery in Gulf countries?

This study considers the impact of fiscal pressures on natural resources policy and green recovery techniques as it explores the effect of inclusive finance on reaching oil resource production targets in Gulf countries. The connection between financial inclusion, oil production targets, and fiscal restrictions is examined in countries heavily dependent on oil resources income. The study examines how global oil price fluctuations and changing environmental rules impact resource management and revenue stability. Developing green initiatives and diversification methods are crucial for reducing fiscal vulnerabilities brought on by the oil market's volatility. Using empirical data and case studies, this study clarifies policy frameworks that balance financial inclusion, oil production, and environmental sustainability. Adopting circular economy models, increasing energy efficiency, and investing in renewable energy sources are recommended for achieving a balanced and sustainable development. Study provides several policy implications for the associates parties on the basis of current research findings.

Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries

The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in terms of prompt reaction to external shocks with divergent effects. Oil price fluctuations are of essential importance for macroeconomic performance, which is particularly reflected in countries more dependent on the import of this raw material. This research aims to apostrophize the asymmetric effects of oil price fluctuations on the stock market indices on a sample of higher (Germany, Italy, France) vs. lower (Croatia, Bulgaria, Ireland) oil importers. The empirical findings are determined based on impulse response functions derived from the VAR model as well as the Granger causality test of the relationship between stock market indices and oil price fluctuations. In order to identify the isolated impact of oil price movements on stock market indices of selected European economies, the VAR (Vector AutoRegression) model is evaluated in the time period 2013M1-2023M1. The results of the research indicate an asymmetric mechanism of the impact of oil shocks on the financial markets of EU member states.

Asymmetric Effects of World Energy Prices on Inflation in Indonesia

This study analyzes the asymmetric effect of changes in world energy prices, which include crude oil, natural gas, and coal prices, and the exchange rate on consumer price index (CPI) inflation in Indonesia. The models used in the analysis are quantile regression and dynamic ordinary least squares. The period studied is monthly in the period 2001M01 - 2022M12. The study results show that world crude oil prices have asymmetrically positive effects on CPI inflation when world oil prices increase and decrease. The fall in the price of crude oil has a more significant effect than the increase. The asymmetric impact of world crude oil prices on CPI inflation was also found between lower and middle quantiles. However, the short-run impact of rising crude oil prices is only found in the 7th quartile. So, the long-run effect is more dominant than the short-run effect. The role of the fuel subsidy policy, which the government manages, is beneficial in reducing inflationary fluctuations originating from fluctuations in world crude oil prices. Efforts to develop oil refineries in Indonesia that need to be done to reduce imports of crude oil and fuel are expected to be able to reduce the impact of world oil price fluctuations on domestic inflation in the future.

Assessing the Impact of Oil Price Volatility on Food Prices in Saudi Arabia: Insights From Nonlinear Autoregressive Distributed Lags (NARDL) Analysis

Abstract This research investigates the impact of oil price fluctuations on food prices in Saudi Arabia between 1979 and 2020 using Nonlinear Autoregressive Distributed Lags (NARDL) methodology. The study employs Augmented Dickey Fuller (ADF) and Phillips Perron (PP) tests to determine the integration order of the variables and Bounds testing to confirm the existence of long run cointegration relationships between each variable. The results indicate that oil shocks influence food prices through several mechanisms. Firstly, the cost of energy increases due to the rise in oil prices, affecting the agricultural commodity market, including farm equipment, food processing, packaging, and distribution costs. Secondly, the demand for agricultural commodities to produce biofuels affects food availability and thus food prices. Thirdly, as an oil-based economy, the oil price shock affects food prices through its impact on government spending, which affects aggregate demand and liquidity. Therefore, Saudi Arabia should adopt appropriate policies to mitigate the impact of oil price shocks on food prices, including investing in renewable energy sources, diversifying its economy, and improving food production and supply chain efficiency. Additionally, implementing appropriate fiscal policies to ensure sufficient budget allocation for food support programs is crucial. However, Investing in groundwater exploration can contribute significantly to the development of Saudi agriculture and to gradually achieving food self-sufficiency.

Perspektif Opini Pelanggan pada Aplikasi MyPertamina menggunakan Metode Latent Dirichlet Allocation (LDA)

Fluctuations in world oil prices are one of the major factors affecting the country's economic growth, including Indonesia. The government issued a fuel subsidy program, but the program was used by the wrong target and caused the government budget to swell. The solution is to provide programs to the right targets, the government created the MyPertamina application. MyPertamina's application reviews need to be further analyzed and researched to find out the customer's perspective on the application and help the government improve its work program. This study proposes the LDA (Latent Dirichlet Allocation) topic modeling method to analyze user reviews of the MyPertamina application. The methodology used in this research is starting with a literature study, data collection, data preprocessing, sentiment analysis, and topic modeling using LDA. The results of the analysis show that there are several negative reviews with most reviews being positive. This indicates that the MyPertamina application is a good program and right on target in distributing subsidized fuel. Based on the results of the analysis, the are some suggestions about improving application performance in the registration process and adding payment options through e-wallets other than LinkAja or m-banking. The conclusion of the perspective user, the MyPertamina application is effective in controlling subsidized fuel purchases and several user suggestions need to improve regarding registration and payment.

The Mediating Role of Institutional Quality on the Nexus between Oil Price Fluctuations and Current Account Deficits in Nigeria: A nonlinear ARDL Approach

The paper employs a NARDL to analyze the degree of asymmetry in the relationship between current account and oil price, with a mediating effect of the institutional role in Nigeria. The series employed in the study are obtained largely from the database of World Bank’s (WDI), and covers 1981 to 2021. In conclusions, we found that any form of shocks in oil price and nominal exchange rate exert significant impact on the country’s current account balances both in the short run and long run in Nigeria. In addition, poor institutional quality in the oil industry such as corruption, poor regulatory frameworks, hinders the country from fully optimizing the benefits associated with increasing global oil prices. Finally, a long run asymmetry is discovered in the nexus of current account-oil price with mediating role of institutions in Nigeria. Thus, we recommend that the PIA should be implemented carefully and strategically in an effort to remove all undue bottlenecks and bureaucracies to support Nigeria's economic growth through attracting in and providing investment possibilities for both domestic and international investors, and thereby enhances the current account balance.
 
 Received: 18 August 2023 / Accepted: 27 October 2023 / Published: 5 November 2023

Biofuel policies and their ripple effects: An analysis of vegetable oil price dynamics and global consumer responses

The paper analyzes the price dynamics of Palm, Soybean, Rapeseed, and Sunflower oils due to their extensive uses in the food and fuel sectors and recent considerable price increases. We consider the impact of biofuel policies and consumers’ responses. Using Johansen cointegration and VECM, we identify two long-term equilibrium relationships that arise from biofuel policies as our first key finding. In our second insight, an asymmetric AR-EGARCH-DCC model results show heightened volatility and correlation responses to vegetable oil price deviations, especially post-biofuel. Biofuel policies significantly influence shifts in time-varying correlations among these price shocks. Finally, we examine how household consumers in nine countries respond to price shocks with a structural VAR model. The post-biofuel policy era markedly influenced consumer reactions regarding vegetable oil price fluctuations. While most nations show decreased sentiment with price hikes, China and Germany see increased consumer sentiment. South Africa’s response varies by oil type. Biofuel policies amplify these effects on consumer confidence across all studied countries. These findings have significant implications for policymakers trying to balance the energy transition and global food security while promoting sustainable growth in vegetable oil demand across both sectors and ensuring price stability for global agricultural commodities.

Do Oil Shocks Affect Financial Stress? Evidence from Oil-Exporting and -Importing Countries

In recent years, there is increasing attention to examining the relationship between oil prices, financial markets, and the economy. Relatively little is known about the dynamic relationship between structural oil shocks and financial market stress of countries, which are majorly dependent on oil price fluctuations. This paper examines the impact of structural oil shocks (oil supply shocks, global aggregate demand shocks, speculative shocks, and other oil shocks) on the financial stress of major oil-exporting and-importing economies. In this study, we construct a financial stress index and using a structural vector autoregression model, we investigate the effects of oil price shocks on the financial stress of major oil-exporting and importing economies. We find evidence that global demand shocks, followed by speculative demand shocks, have significant impacts on financial stress. Furthermore, the US subprime crisis has a significant bearing on the response of the financial stress index to structural oil shocks. The magnitude of oil price shocks on financial stress has subdued during the post-crisis period.

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.

Oil Price Volatility and Federal Government Recurrent Expenditure in Nigeria: Mediating Role of Exchange Rate

An empirical examination of the impact of oil price volatility on federal government recurrent expenditure in Nigeria and the mediating role of exchange rate from 1980 to 2022 was carried out in this study. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was used in the data analysis. The findings reveal compelling evidence that oil price volatility as measured using the Brent oil volatility has a significant effect on recurrent federal government spending patterns. The analysis also shows that exchange rate variations serve as significant control variable that influence oil price fluctuations and federal government recurrent expenditure. Hence, the study recommends that federal government should create and properly administer a stabilization fund to save excess oil revenue during periods of boom to lessen the immediate effects of oil price volatility and the abrupt impact on budgetary allocations on recurrent expenditure. There is also the need to have a deep-cut on unproductive recurrent expenditures by federal government and its appointees. The study further recommends the adoption of a closely monitored exchange rate policy by government.

Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective

Fluctuations in crude oil prices are widely considered to reflect changes in global economic conditions. However, recent extreme events such as the COVID-19 outbreak and the Russia-Ukraine conflict have severely weakened global economic conditions, which awakens our renewed attention to the crude oil market. Can crude oil price fluctuations still reflect global economic conditions? Different from previous studies, we aim to interpret this question by focusing on the supply-demand shocks and investigating the influencing mechanism from a dynamic perspective. First, we simply count the number and location of months when supply-demand shocks and economic conditions simultaneously changed. Results show that the response of supply-demand shocks to economic conditions may change over time. Second, the time-varying detection shows that the significant impacts of economic conditions on different shocks exist in different periods. Finally, tests based on spectral density suggest that economic conditions only have medium-term effects on supply shocks but can strongly affect demand shocks associated with economic activity in any case. Besides, we fail to provide evidence of the impact of economic conditions on the other two demand shocks. Thus, not all shocks in crude oil prices can reflect changes in global economic conditions.