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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 - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010786995

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

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

Persistent link: https://www.econbiz.de/10010877768

How Does Stock Market Volatility React to Oil Shocks?

Bastianin, Andrea; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2015

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10011162062

Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective

Bashar, Omar H.M.N.; Wadud, I.K.M. Mokhtarul; Ahmed, Ali; … - In: Economic Modelling 35 (2013) C, pp. 249-259

This paper revisits the link between oil price uncertainty and macroeconomy in the context of a net oil exporting country, Canada. Results obtained from alternative Structural VAR models suggest that while shocks to oil price level do not affect the aggregate level of output, the oil price...

Persistent link: https://www.econbiz.de/10010719368

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...

Persistent link: https://www.econbiz.de/10011083435

Causal Link between Oil Price and Uncertainty in India

Montasser, Ghassen El; Aggad, Kenza; Clark, Louise; … - Department of Economics, Faculty of Economic and … - 2014

relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy …-related economic uncertainty index as well as the stock market volatility index for India. Our results suggest that the standard … oil ETF volatility index does. Clearly, oil and India’s economic uncertainty go hand-in hand. These findings can thus be …

Persistent link: https://www.econbiz.de/10011095474

Understanding recent oil price dynamics: A novel empirical approach

D'Ecclesia, Rita L.; Magrini, Emiliano; Montalbano, … - In: Energy Economics 46 (2014) S1, pp. 11-11

and investors. The increasing volatility of crude oil prices in the last decade has encouraged many researchers to model …

Persistent link: https://www.econbiz.de/10011115925

The causal nexus between oil prices and equity market in the U.S.: A regime switching model

Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy Economics 39 (2013) C, pp. 271-282

The aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub-grouping of S&P 500 stock index changes. The causal linkage between oil and stock markets is modelled using a vector autoregressive model with time-varying parameters so as to reflect changes...

Persistent link: https://www.econbiz.de/10010868722

The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis

Yanfeng, Wei - In: Review of Economics & Finance 3 (2013) May, pp. 57-67

This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are...

Persistent link: https://www.econbiz.de/10010927782

Moody Oil - What is Driving the Crude Oil Price?

Lechthaler, Filippo; Leinert, Lisa - CER-ETH Center of Economic Research, Department of … - 2012

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...

Persistent link: https://www.econbiz.de/10010581036