Also, the study further classifies oil price shocks into sub-samples: for a first sub- sample (1985-1999), for a second sub-sample (2000-2004) and for a third sub-sample (2005- 2008). Empirical results show an immediate and significant negative real stock returns to oil price shock in...
As the organization of oil exporting countries,OPEC has exerted great influences on the oil price all through.However,as the oil price is soaring after world financial crisis in 1998,OPEC's ability to manipulate oil price has brought about myriads of debates.To make certain the question,this ...
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 ...
At the same time, there has been increasing recognition of the importance of shifts in the demand for oil. Recent research has provided robust evidence that oil demand shocks played a central role in all major oil price shock episodes since the 1970s. 展开 关键词:...
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-...
For example, the impulse responses of real stock returns to oil supply-/demand-side price shocks can be calculated for a structural shock at any time point τ based on the estimation of parameters as they are at time τ. 4. Data and test results The data in the empirical analysis on ...
Empirical Research on the Interaction Between Oil Price Shock and World Economic Activity Although the research on the relation between oil price shock and economic growth have emerged in a large amount since the 1970s, there has been little emp... N Hou,Z Qi - International Conference on Wire...
Oil and the macroeconomy: empirical evidence from oil‐exporting African countries Most studies on the oil鈥搈acroeconomy relationship focus predominantly on advanced, oil-importing countries. This study deviates from these studies by conducting an empirical analysis of the effects of oil price shocks ...
They evidenced that oil price series are mean reverting which implies that the shock would be transitory albeit with very long-lasting effects. The goal of this paper is to understand the behavior of the BDI and WTI (West Texas Intermediate) crude oil prices under the assumption of geopolitical...
OPEC period as 1973.10-1985.12, for example, there is no evidence of an increase in the variance of the percent change in the real WTI price of oil. The volatility in the OPEC period is virtually identical to that in the post-OPEC period of 1986.1-2010.6. Shifting the starting date of ...