Table 1compiles the descriptive statistical parameters and unit root tests of the log-returns of the main cryptocurrencies and the oil price shocks divided into their three components: risk shock (RS), demand s
We find substantial empirical evidence suggesting the asymmetric impact of oil price shocks in several countries, irrespective of the magnitude of the shock. In addition, we explain how the output and fiscal responses to large oil price shocks are significantly different depending on country-specific ...
Augmenting the forecasting model with GPR can improve the accuracy of oil price forecasts (Liu et al., 2019). Political risks in OPEC countries also significantly influence oil prices, particularly in Middle Eastern countries endowed with ample oil reserves yet plagued by recurrent armed conflicts (...
The empirical results from impulse response functions indicated a positive response for food prices due to one standard deviation shock in oil price. The study recommends short‐term and long‐term agricultural policies for Iraq to separate its dependency from international food markets that are ...
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) ...
Our price model is consistent with the opposite view: that oil extraction has been extremely important in economic production. In [2] computations show that the dynamics of the cost share is the indicator of importance in an economic production function. In particular, the cost share of ...
Given the significant oil price changes during the past two decades, this paper examines the effect of oil price uncertainty on the sovereign credit risk o
quarter) when prices strayed from the levels implied by market fundamentals. We identify nine price regimes that are associated with the Organization of the Petroleum Exporting Countries gaining control over the marginal supply of crude oil, US energy legislation, a precautionary demand shock, the ...
Macroeconomic impacts of oil price shocks in Asian economies Energy Policy (2015) J.D.Hamilton This is what happened to the oil price-macroeconomy relationship J. Monet. Econ. (1996) J.D.Hamilton What is an oil shock? J. Econ. (2003) ...
Oil price shocks and emerging stock markets: a generalized VAR approach Int. J. Appl. Econ. Quant. Stud., 1 (2) (2004), pp. 27-40 Google Scholar Malik and Hammoudeh, 2007 F. Malik, S. Hammoudeh Shock and volatility transmission in the oil, US and Gulf equity markets Int. Rev. ...