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Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on … suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

Persistent link: https://www.econbiz.de/10010398607

Corporate Debt and Stock Returns : Evidence from U.S. Firms During the 2020 Oil Crash

Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022

This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...

Persistent link: https://www.econbiz.de/10014083040

Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and …

Persistent link: https://www.econbiz.de/10013211113

Oil Price Fluctuations and Exchange Rate Dynamics in the MENA Region : Evidence from Non-Causality-in-Variance and Asymmetric Non-Causality Tests

Nouira, Ridha - 2018

dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

Persistent link: https://www.econbiz.de/10012908723

Gold and Oil Prices : Abnormal Returns, Momentum and Contrarian Effects

Caporale, Guglielmo Maria - 2020

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...

Persistent link: https://www.econbiz.de/10012827113

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Görtz, Christoph - 2019

We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the transmission channel of news shocks to inventories works...

Persistent link: https://www.econbiz.de/10012860577

A Global Oil Market Model with Shipping Costs

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper investigates the role of shipping costs in global crude oil and refined petroleum markets and their effects on regional and country-level inflation and real activity. For this purpose a Global VAR (GVAR) model is estimated jointly for the oil and refined petroleum markets; this...

Persistent link: https://www.econbiz.de/10015211316

Functional Oil Price Expectations Shocks and Inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper investigates the inflation effects of oil price expectations shocks constructed as functional shocks, i.e. as shifts in the entire oil futures term structure (both standard and risk-adjusted). The latter are then included in a vector autoregressive model with exogenous variables...

Persistent link: https://www.econbiz.de/10014534467

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10010531839

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane; Hamilton, James D. - 2017

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

Persistent link: https://www.econbiz.de/10011794174