The exchange rate depreciates instantly in reaction to the oil price uncertainty shock, but this reaction is long-lasting only in the case of developing countries, Mexico and Russia. We show that oil price uncertainty shocks is an important driver of industrial production fluctuations in all oil ...
We also show that oil price shocks serve as a driver of connectedness patterns across global financial markets, although the effect on connectedness depends on the nature of the oil market shock and the economic characteristics of the countries. Overall, the findings highlight the role of crude ...
1 presents the impulse responses of NEER, Euribor, oil, and stock prices from a one standard deviation shock to oil prices. As in the previous analysis, the euro exchange rate is negatively affected by a positive oil price shock. Based on one standard deviation error bands (dotted line) ...
Addressing the interconnectedness of oil prices and foreign exchange rates poses a substantial challenge and raises significant questions within economic research. Existing studies reveal a fragmented understanding of the dynamics between these crucial v
However, the long-term interest rate and the inflation rate rise as a result of a positive oil price shock. The unanticipated changes in these macroeconomic variables threaten the economic stability of Pakistan; specifically, higher inflation and interest rates hamper the economy's growth rate. ...
the impact of a G4 liquidity shock is not significant. However, we find that a shock to our G4 liquidity variable leads to significant effects on real oil returns when using an MSVAR model. The introduction of regime switches into the model allows the framework to capture these nonlinear ef...
Real exchange rates and time-varying trade costs This paper re-examines the empirical modeling of Purchasing Power Parity (PPP) deviations in the presence of commodity market frictions. First, we show tha... EG Pavlidis,I Paya,DA Peel - 《Journal of International Money & Finance》 被引量: ...
Price Pass-Through Dependence on the Source of Cost Increases: Evidence from the European Gasoline Market The lower variability of exchange rates relative to that of oil prices explains a portion of the response gap. A possible explanation for the remaining ... G Deltas,M Polemis,LJ White -...
High oil-supply risk or “fear premiums” generally manifest as short-lived, upward price spikes that are quickly integrated into forward price expectations. Following the initial shock of oil-supply risk, U.S. Treasury bond and related “flight-to-safety” investments tend to lower oil price ...
However, there is a lack of research on the role of exchange rates in the dynamic impact of oil prices on the stock market through the application of implied volatility indices. In this study, we aim to investigate the dynamic impact of oil price shocks on the Chinese stock market and the...