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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

Daily oil price shocks and their uncertainties

Wang, Shu - 2024

- specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks … while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks …

Persistent link: https://www.econbiz.de/10015165975

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

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10005000442

The Links between the Price of Oil and the Value of US Dollar

Zhang, Yi - In: International Journal of Energy Economics and Policy 3 (2013) 4, pp. 341-341

Using monthly data, this paper studies the cointegration between the real price of oil and the real effective exchange rate of US dollar allowing for structural breaks. Contrary to the conclusion from previous literature, this paper finds that the cointegration between the oil price and the...

Persistent link: https://www.econbiz.de/10010701188

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Kilian, Lutz; Vega, Clara - C.E.P.R. Discussion Papers - 2008

Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...

Persistent link: https://www.econbiz.de/10005114377

Macro wine in financial skins: The Oil-FX interdependence

Weber, Enzo - 2008

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature takes a financial markets perspective using daily data. The fast-running simultaneousimpacts are...

Persistent link: https://www.econbiz.de/10010263739

Covid-19 based global fear index, economic fundamentals and stock return nexus : analysis of Asia-Pacific stock markets

Makun, Keshmeer - In: International journal of monetary economics and finance … 14 (2021) 6, pp. 532-550

Persistent link: https://www.econbiz.de/10012800328

Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Volkswirtschaftliche Fakultät, … - 2014

volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …

Persistent link: https://www.econbiz.de/10011112400

Macro determinants of volatility and volatility spillover in energy markets

Karali, Berna; Ramirez, Octavio A. - In: Energy Economics 46 (2014) C, pp. 413-421

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets … macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the … natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and …

Persistent link: https://www.econbiz.de/10011115917