Oil price shocksoil‐exporting countriesasymmetric effectsVARinstitutional qualityE32Q43C3Many empirical studies on the oil price shock effects on the economies of oil-exporting countries have assumed a linear relationship between the shocks and macroeconomic variables, offering no insights on the dynamics ...
Empirical results show an immediate and significant negative real stock returns to oil price shock in Nigeria. The Granger causality test indicates thatcausation run from oil price shocks to stock returns, implying thatvariation in stock market is explainedby oil price volatility. It is also ...
My personal guess as to why the model does not do well over the last 5 years is that quantitative easing caused financial bubbles that inflated the price of oil from 2009-2013 and that currently those bubbles are deflating so that the model will overestimate the price of oil for a couple ...
In this study, we analyze the time-frequency connectedness between the recent COVID-19 outbreak, crude oil price volatility shock, the economic policy uncertainty, the geopolitical risk and the stock market in the US using the continuous wavelet transform, the wavelet coherence and the wavelet-...
This view has little empirical support. Likewise, the popular notion that OPEC constitutes a cartel that controls the price of oil has not held up to scrutiny. At the same time, there has been increasing recognition of the importance of shifts in the demand for oil. Recent research has ...
Then the crude oil price can be explained as the composite of a long term trend, effect of a shock from significant events, and short term fluctuations caused by normal Acknowledgements This work is supported by the NSFC, CAS and RGC of Hong Kong. The authors would like to thank the two...
oil price shockheterogeneous price expectationsOPECpeak oilunconventional oilIt has been forty years since the oil crisis of 1973/74. This crisis has been ... C Baumeister,L Kilian - 《Journal of Economic Perspectives》 被引量: 145发表: 2015年 OPEC and non-OPEC oil production and the global...
Liu Y, Yang C, Huang K, Gui W (2020) Non-ferrous metals price forecasting based on variational mode decomposition and LSTM network. Knowl-Based Syst 188:105006 Article Google Scholar Lu QY, Shi HT, Wang SY (2022) Estimating the shock effect of “black swan” and “gray rhino” events...
“Seven Sisters,” entering the stage of OPECmonopoly. The oil price rose sharply, and the price trend was negatively correlated with the global economic growth. However, since the mid-1980s, with the increasing number of participants, the degree of monopoly in international oil market has been...
We show that the ability of oil price changes to predict stock returns is limited to periods of extreme geopolitical unrest. Four events generate most of the predictability: the 1973 Arab-Israel war, the 1986 OPEC collapse, the 1990/91 Persian gulf war, and the 2003 invasion of Iraq. We ...