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Oil Price Volatility and the Role of Speculation

Beidas-Strom, Samya - 2015

How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign … model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and … the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short …

Persistent link: https://www.econbiz.de/10013028690

Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models

Ben Cheikh, Nidhaleddine - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10012913874

Foreign Exchange Intervention and the Australian Dollar : Has it Mattered?

Edison, Hali J.; Cashin, Paul A. - 2021

(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …

Persistent link: https://www.econbiz.de/10013211943

Oil Prices and the Global Economy : Is it Different this Time Around?

Mohaddes, Kamiar - 2017

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the United States and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to...

Persistent link: https://www.econbiz.de/10012948538

The Differential Effects of Oil Demand and Supply Shocks on the Global Economy

Cashin, Paul Anthony - 2012

We employ a set of sign restrictions on the generalized impulse responses of a Global VAR-model, estimated for 38 countries/regions over the period 1979-2011Q2, to discriminate - between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects...

Persistent link: https://www.econbiz.de/10013098275

Transitory and Permanent Shocks in the Global Market for Crude Oil

Rebei, Nooman - 2020

This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...

Persistent link: https://www.econbiz.de/10012836533

Granger Predictability of Oil Prices after the Great Recession

Benk, Szilárd - 2019

Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...

Persistent link: https://www.econbiz.de/10012858386

Oil Prices and Inflation Dynamics : Evidence from Advanced and Developing Economies

Choi, Sangyup - 2017

We study the impact of fluctuations in global oil prices on domestic inflation using an unbalanced panel of 72 advanced and developing economies over the period from 1970 to 2015. We find that a 10 percent increase in global oil inflation increases, on average, domestic inflation by about 0.4...

Persistent link: https://www.econbiz.de/10012947825

Oil Prices and the Global Economy

Arezki, Rabah - 2017

alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of …

Persistent link: https://www.econbiz.de/10012960587

OPEC and the Oil Market

Nazer, Yousef; Pescatori, Andreas - 2022

identify the effects of OPEC announcements on oil price fluctuations. Results show that price volatility is higher than typical …

Persistent link: https://www.econbiz.de/10014244439