Oil Prices Research Articles

Oil price shocks and bond risk premia: Evidence from a Panel of 15 Countries

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as unspanned factors in an affine term structure model based on the representation of Joslin et al. (2014). This is done for a total of 15 countries. Unspanned factors are responsible for most of the variability in bond risk premia for short holding periods, while spanned factors dominate the variance decomposition for longer holding periods. In both cases, global oil supply and global economic activity are clearly the most important unspanned shocks. A historical decomposition around the outbreak of the COVID-19 crisis shows the clear influence of global economic activity shocks during the months of February and March 2020, increasing bond risk premia significantly.

The Role of Global Oil Prices in US Monetary Policy Spillovers to Small Open Economies: Evidence From MINT Countries

We explore the importance of global oil prices in the spillovers of US monetary policy to four small open economies (SOEs): Mexico, Indonesia, Nigeria, and Turkey (MINT). Our findings indicate that oil prices amplify the spillover effects on MINT’s real GDP. The negative impact is more pronounced when oil prices fall. This suggests that oil prices are a crucial determinant of US monetary policy spillovers.

Global Economic Policy Uncertainties and International Oil Price Volatility Under Alternative Market Conditions

This study mainly investigates the predictability prowess of global economic policy uncertainty (GEPU) for oil price volatility under different market episodes. The results clearly show that the GEPU-oil price volatility nexus is episodic in nature. While evidence of mean reverting stance is confirmed across the sectionalized market phases, the long-term impact of GEPU in the nexus holds true for the Covid-19 pandemic, Russia-Ukraine war, and oil price shock episodes.

The effect of fixed capital formation rate on gross domestic product in Iraq

The total fixed capital formation is one of the main and influential determinants of production function through its impact on production costs, competitiveness, and profits. The Iraqi gross domestic product depends on one sector (the oil sector) in financing the government budget, which may lead to crises in case of oil price collapse. Therefore, the study aims to clarify the imbalance in the production function and the real output of the Iraqi economy and to indicate the role of the total fixed capital formation in this imbalance. The econometric methods were used to measure the degree of influence of the total fixed capital formation (independent variable) on the gross domestic product (dependent variable) from 2004 to 2020. The results showed a robust relationship between fixed capital formation and gross domestic product, where the independent variable affects the dependent variable by 4.5%, while the oil sector dominated the total value added by its acquisition of the total fixed capital formation by 47.45%, and the productive sectors of agriculture and industry achieved value added of 3.8%. The study concluded that the distribution of total capital formation by sector has an impact on the gross domestic product. Therefore, it is necessary to distribute the total fixed capital formation to the productive and production-supporting sectors to achieve economic growth and diversify the structure of the gross domestic product.

Retraction notice: Asymmetry in the prices of crude oil and diesel and gasoline prices in Brazil

Retraction notice: Asymmetry in the prices of crude oil and diesel and gasoline prices in Brazil

Reflections of Economic Shocks and Price of Crude Oil on Gold Price Volatility within Asian Nations

The focus of this study is to examine the effects of economic shocks along with the crude oil price on gold prices in Asian countries. This study utilizes a regression analysis to measure the relationship between the macroeconomic indicators, crude oil price, and gold price in six selected nations from 1990 until 2022. The validity of the data was diagnostically checked by performing a VIF procedure, autocorrelation test, and normality test on residual, and data were analyzed via EViews software. The analysis showed mixed findings, however, a major variable that positively affects the fluctuation of the gold price is “the crude oil price” and it reflects global economic stability in the six countries. A sudden rise in crude oil prices might trigger conflicts in oil-exporting countries and limit access to material sources. This situation may force investors to move their funds into a safe-haven commodity like gold. The fluctuations in crude oil prices are not only a response to current market conditions but also alarming a lot more fundamental problems in an economy, which include approaching economic recessions, currency devaluation and a major financial crisis. For practical implications, this study suggests that policymakers pay extra attention to this commodity besides other economic indicators like inflation, interest and currency rates, and a GDP rate to ensure a sustainable economic condition. To the best of the authors’ knowledge, this study is the first that examines the economic shocks along with crude oil prices pre-and-post COVID-19 pandemic focusing on a few Asian countries.

Assessing the Future of Oil and Gas Production and Local Government Revenue in Five Western US Basins

Oil and gas production is a major source of public revenue in many US regions, but uncertainty exists over the future of demand for hydrocarbons. We model how oil and gas production and related government revenue change in five western US basins depending on future oil and natural gas prices under three scenarios of climate policy ambition. We find that the Green River and San Juan basins experience production declines across all scenarios, while production in the Bakken, Permian, and Powder River basins are more dependent on prices. Government revenue generally follows the direction of production, but these relationships are not directly proportional. Under the lower price scenarios, revenue declines more steeply than production because it reflects both production and prices, which both decline. Long-term permanent funds, which are in place across all the states we examine, provide an important fiscal cushion for school districts, their primary beneficiary. JEL Classification: H71, H72, H73, O13, Q41, Q48

Macroeconomic Forces Affecting Islamic Performance Indices

This study aims to investigate the macroeconomic factors that impact the performance of Malaysia's Islamic stock market. This study looks at six independent variables that affect the performance of the Islamic stock market in Malaysia: the world oil price, inflation rate, Islamic interbank rate, money supply (M2), industrial activity index, inflation rate, Islamic interbank rate, exchange rate, and world oil price. The Department of Statistics Malaysia (DOSM), Bursa Malaysia, Bank Negara Malaysia, and Eikon Thomson Reuters were among the secondary data sources used in this study's quantitative data gathering methodology. The research was carried out over four years (2019–2023) using monthly data. A theoretical model was created to investigate the suggested relationship after it was analyzed using the E-views software. The success of the Islamic stock market was found to be significantly correlated with the inflation rate, money supply, Islamic interbank rate, and exchange rate. These determinants are exerting a direct influence on the Islamic stock market in Malaysia, particularly in its macroeconomic aspects. The present study aims to enhance comprehension regarding the possible effects of different elements on how well the Islamic stock market performs. Different results could come from more research into the various elements affecting the Islamic stock market's performance.

Research on the Correlation Between Carbon Emission Rights and Energy Market: A Case Study of EUA and Oil Market

This study focuses on the importance of the relationship between carbon and oil in the context of global climate change and energy transition. In particular, this paper explores the link between fluctuations in the price of Brent crude oil in the United Kingdom and changes in the European Union Emission Allowances (EUA), which has significant implications for insight into energy market dynamics and policy making. This study uses an autoregressive (VAR) model to analyze the dynamic relationship between the European Union Emission allowances (EUA) market and the oil market from 2018 to 2024. Through Augmented Dickey-Fuller (ADF) stability test, the VAR model is established, the optimal lag order is determined, and the impulse response and Variance decomposition are analyzed. The results show that the EUA market has a short-term positive impact on the response of the oil market. But this effect has diminished over time, indicating the market's ability to self-regulate and stabilize. These findings provide new perspectives for understanding the interaction between global energy markets and environmental policy tools. The findings highlight the importance of considering these market dynamics when developing market strategies and environmental policies.

Exploring market-wide herding behavior in the major stock markets of Latin America

PurposeThis paper investigates market-wide herding behavior among investors in the stock markets of Brazil, Chile, Colombia and Mexico from January 2013 to December 2022.Design/methodology/approachWe analyze a survivor-bias-free dataset of daily stock returns, employing a measure reflecting the cross-sectional deviation of stock returns relative to market consensus.FindingsSignificant anti-herding is observed in Brazil and Mexico, while Chile and Colombia show results consistent with rational asset pricing models. The COVID-19 pandemic generally intensifies anti-herding trends. Additionally, significant asymmetries in herding/anti-herding effects are noted during different market trends and volatility levels. Furthermore, we identify the drivers of this phenomenon, revealing that extreme crude oil price movements are associated with more pronounced anti-herding, and herding/anti-herding effects appear synchronized across all four markets.Practical implicationsOur findings regarding synchronization in herding dynamics suggest challenges in realizing the desired benefits of international diversification in the region.Social implicationsThe significant cross-country effects indicate that herding dynamics may play a crucial role in precipitating regional financial crises.Originality/valueFor the first time, we examine various features of herding behavior in the sample markets, including the impact of the COVID-19 pandemic, psychological and economic drivers of the phenomenon and synchronization in herding dynamics among the four markets.

Seasonal price variation analysis of palm oil: case study of Nigeria (2016–2022)

To enhance the benefits derived from palm oil processing by the farmers, there is a need for the producers (farmers) and buyers of palm oil to understand the seasonal price for making informed decisions on when to buy and sell the commodity. In order to determine price at the appropriate time of the season, the study looked at the seasonal price variation analysis of palm oil and the relationship between producers and buyers. This was done by understanding buyers’ requirements, producers’ effort, measurements taken, and contracting with buyers’ credit from customers. A multiphase sampling strategy was used. Organized interviews and questionnaires were utilized to collect primary data, while the National Bureau of Statistics provided secondary time series data on the average monthly retail price of palm oil from 2016 to 2022. The need for bio-fuel, production growth, governmental regulations, market dynamics, and the seasonality of palm oil products are then identified by the study as important factors influencing palm oil price fluctuation throughout the year. The study then suggests that there’s a need for economic diversification to reduce reliance on a single sector. This study will serve as a basis for future research on palm oil price variation analysis.

Nitrogen use efficiency for seed and oil yield in some Moroccan rapeseed (Brassica napus L.) varieties under contrasting nitrogen supply

In the actual context of climate change and increasing oil and nitrogen prices, oil crops varieties with high nitrogen use efficiency (NUE) will be highly appreciated. As no studies on NUE in spring rapeseed have been carried out in Mediterranean area, including Morocco, this work aimed to assess responses of six rapeseed varieties to six nitrogen levels (0, 30, 60, 90, 120, and 150 Kg N/ha) and their NUE for grain and oil yields. The experiment was conducted according to a split-plot design with three replications, during two cropping seasons. Results showed that increasing nitrogen rate from 0 to 120 kg N/ha led to a significant increase in seed, oil and dry matter yields up to 85.3, 72.35 and 97.9%, respectively. NUE, NUpE (nitrogen uptake efficiency) and NUtE (nitrogen utilization efficiency) decreased by increasing nitrogen application. Regarding oil content, it was negatively affected by nitrogen fertilization, declining from 40.78% for control to 37.77% for 150 kg N/ha. Likewise, nitrogen use and nitrogen utilization efficiency for oil production (ONUE & ONUtE) were negatively affected by nitrogen application. The genotypic variation was statistically significant for all investigated traits. The variety hybrid ‘Trapper’ was the most interesting for ONUE, NUE, seed yield and dry matter. However, for oil yield it was comparable to ‘Moufida’ and ‘Alia’ which showed the highest values for harvest index, branching, pods number per plant, oil content and ONUE. These varieties grown under 120 kg N/ha treatment can be recommended for Morocco.

Determinants of Household and Professional Forecasters’ Inflation Expectations in India

ABSTRACTThis study analyses and compares the determinants of inflation expectations among households and professional forecasters in India. To this end, we utilize quarterly survey data from the Reserve Bank of India (RBI), specifically the Inflation Expectations Survey of Households (IESH) and the Professional Forecasters’ Survey (SPF). The analysis employs a non‐recursive structural vector autoregressive (SVAR) model to explore the relationships between variables. The impulse response function and variance decomposition analysis shed light on the response of inflation expectations to macroeconomic shocks. Our findings indicate that apart from conventional macroeconomic factors like realized inflation and monetary policy, exogenous factors such as oil prices significantly shape inflation expectations. Comparing IESH and SPF, we found out that household expectations are more sensitive to shocks related to food prices, reflecting the influence of food expenses on household decision‐making. Conversely, professional forecasters’ expectations are more influenced by core inflation. Finally, we observed that inflation expectations adjust more quickly than realized inflation in response to macroeconomic shocks, suggesting a leading role. This study is novel with the contribution to the existing literature as it provides a comparative analysis of determinants of inflation expectations between households and professional forecasters in India, while also considering inflation targeting as a significant factor.

ANALYZING THE IMPACT OF INDONESIAN SUSTAINABLE PALM OIL (ISPO) CERTIFICATION AND THE FACTORS THAT INFLUENCE CRUDE PALM OIL (CPO) EXPORTS VOLUME

This study examines the impact of Indonesian Sustainable Palm Oil (ISPO) certification on Indonesian Crude Palm Oil exports and other factors, such as commodity production and prices, exchange rates, and production levels. The data covers total CPO volume (HS codes 15111000 and 15119000) from January 2006 to December 2022, focusing on ISPO certification for large State-owned and Private Enterprises in palm oil cultivation and processing. The analysis employs the Difference-in-Differences (DID) method and multiple linear regression (MLR) to identify the linear relationship between the dependent and independent variables. The DID analysis revealed that Indonesian CPO production and global CPO prices significantly affected CPO export volumes, while soybean oil prices and effective exchange rates were not statistically significant in the regression model. The results provide valuable insights for policymakers and industry stakeholders in developing strategies that support sustainable growth, enhance competitiveness, and maintain Indonesia's leading position in the global palm oil market. Policymakers should focus on encouraging broader adoption of ISPO among palm oil producers through incentives, training, and technical support, especially for smaller producers.

The Interaction of Global Economy Mobility on the Financial Performance of Flagged Airlines

This study examines the impact of global economic mobility and domestic production on revenue and EBITDA, which are income statement performance indicators of flagged carrier’s airline companies. The research question is whether the global economic trade mobility and domestic production will lead to an effect in the number of individuals traveling, and thus eventually affect the revenue and profitability performance of airline companies. There are studies in the literature that have selected macroeconomic indicators as affecting travel volume and financials. In this study, trade openness and direct investments represent the global economy's mobility. Short-term interest rates, oil prices and exchange rates are included in the model as a control variable. The results of the panel model indicate that trade openness have a positive effect on firms' revenues. Airline companies should develop their financial forecasts by monitoring the macroeconomic indicators that have shown significant results from empirical analysis.

Climate policy uncertainty and economic growth, a moderating role of crude oil price changes: evidence from the Asian economies

Purpose This study aims to inspect the impact of US climate policy uncertainty (CPU) on the economic growth of Asian countries with the moderating role of crude oil price (COP) changes. Design/methodology/approach The Im-Pesaran Sin and Fisher-type tests are used for stationarity check, while Kao and Pedroni tests are used for cointegration analysis. The Hausman test is applied for model selection, where pooled mean group autoregressive distributed lag (PMG/ARDL) has been selected and applied. Besides, the fully modified ordinary least squares is also used for robustness analysis. Additionally, the literature review and descriptive statistics have been used. Findings The main findings disclosed that US CPU negatively impacted the economic growth of Asian economies with high significance in the long run whereas insignificant in the short run. The results further concluded that COP positively affected economic growth both in the short and long run. Furthermore, the results also revealed that COP significantly and positively moderates the relationship between CPU and COP in the long and short run. Originality/value The study is the first of its kind to examine the impact of the US CPU on the economic growth of Asian economies. Second, it further revealed the moderating role of COP between US CPU and economic growth. Third, a large panel of data from Asian countries has been considered. Fourth, the study adds to the current literature by using the PMG/ARDL model to determine the impact of US CPU on economic growth. Additionally, this study focuses on the US CPU because it is a developed country playing a significant role in energy and climate issues, and has been very uncertain.

Oil Price Uncertainty and Consumer Sentiment in Advanced Economies

How does oil price uncertainty affect consumer sentiment in advanced economies? Is the response of consumer sentiment to exogenous positive and negative oil price shocks symmetric or asymmetric? Motivated to answer these questions, this paper provides a comprehensive examination of the effects of real oil price shocks on consumer sentiment in the G7 economies in the context of two classes of empirical models. With the application of a bivariate structural GARCH-in-Mean VAR model we find that (in general) oil price uncertainty has a negative and statistically significant effect on consumer sentiment in the G7 countries. Moreover, using a test of symmetry, we find that the relationship between oil prices and consumer sentiment is in general asymmetric. JEL Classification: C32, D12, Q43, O57

Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL

PurposeThis paper investigates the asymmetric connectedness among the Indian stock market, crude oil price, gold price and the USD–INR exchange rate.Design/methodology/approachWe construct a nonlinear autoregressive distributed lag model that contains the four aforementioned variables. We further used the pairwise Granger causality test to identify the direction of causality.FindingsThe results verify an asymmetrical long-run co-movement between the Indian stock market index, exchange rate, international crude oil prices and gold prices. In the long run, the performance of the Indian stock market is mainly affected by both positive as well as negative shocks in the INR–USD exchange rate, positive shocks in gold prices and positive shocks in crude oil prices. Further, a feedback mechanism is observed between positive shocks in the INR–USD exchange rate and Indian stock market performance.Originality/valueThe research paper revisited the linkage among the variables using a novel methodology proposed by Shin et al. (2014).

Oil Price and Long-run Economic Growth in Oil-importing Developing Countries

The recent spikes in oil prices are a significant setback for the world economy, which has already faced multiple challenges due to the COVID-19 pandemic. This is particularly concerning for developing countries as maintaining a sustained growth in real GDP is crucial for lifting their population out of poverty. While the short-run negative macroeconomic effects of a spike in oil prices are well established in the context of the developed world, the long-run growth effect has received little attention, especially in developing countries. Using the World Bank's development indicators database covering the period 1990 to 2020, this study aims to investigate the oil price-growth nexus in low and middle-income net oil-importing countries to shed light on how oil price increases could be a challenge for sustainable development. Specifically, we first set up a theoretical model to establish the relationship between growth in output per capita and oil price. Following the traditional growth regression approaches, we empirically estimate the causal effect of growth in oil prices on the economic growth of 65 net oil-importing developing countries using fixed effect panel IV regression methods. The empirical results confirm statistically significant negative effects of oil prices, indicating that a higher oil price reduces long-run economic growth in oil-importing developing countries. Our results on the other determinants of growth are consistent with the existing empirical growth literature. Oil-importing developing countries, therefore, must allocate resources towards alternative domestic energy sources, in addition to pursuing fuel efficiency and conservation strategies, to mitigate the negative effects of oil price fluctuations on their long-run economic output and uphold sustainable development.

An Econometric Study on Oil Prices, Exchange Rate and Exports: A Case of Russia, Azerbaijan and Indonesia

After oil crisis in 1970s, discussions of the oil price effect on economies have accelerated. In addition to being a exhaustible energy source, the environmental pollution it generates has led many developed countries to shift towards renewable energy sources. Furthermore, fluctuations in oil prices and increased dependence on it have disruptive effects on national economies. All these factors pose a threat to countries with oil reserves and economies heavily reliant on the oil industry. This study, examines the relationship between oil prices, exports, and exchange rates in Russia, Azerbaijan, and Indonesia whose sum of oil consumption and production exceed that of Europe but have not been the primary focus of previous research. This study employs a panel causality test and encompasses data from 1996 to 2021. The findings indicate the existence of a unidirectional causality relationship from oil prices to both exports and exchange rates in the countries studied. Additionally, the research reveals a unidirectional relationship between exports and exchange rates.