Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level

2015 ◽  
Vol 434 ◽  
pp. 13-24 ◽  
Author(s):  
Shupei Huang ◽  
Haizhong An ◽  
Xiangyun Gao ◽  
Xuan Huang
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks

scholarly journals The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

2020 ◽  
Vol 16 (1) ◽  
pp. 11-23
Author(s):  
Indra Darmawan ◽  
Hermanto Siregar ◽  
Dedi Budiman Hakim ◽  
Adler Haymans Manurung
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Performance ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Stock Market Performance ◽  
Global Stock

The main purpose of this study is to observe the effects of the crude oil price shocks on Indonesia stock market performance to complete the literature on Indonesia stock market behavior. We examined the effects of the crude oil price shocks on Indonesia stock market performance through the cointegration relationship mechanism between IHSG and the crude oil price and between IHSG and the global stock market indices. The Brent crude oil price data taken from FRED economic data, the Federal Reserve Bank of St.Lois, and the stock market indices data taken from yahoo.finance.com. By using a vector error correction model (VECM) approach, we found that IHSG has significant long-run relationships with the crude oil price and the global stock market indices. This finding indicates that the effects of the crude oil price shocks on IHSG transmitted directly through the cointegration mechanism between IHSG and the crude oil price, and indirectly through the cointegration mechanism between IHSG and the global stock market indices.

The Effects of Oil Price Shock on the Indian Economy—A Study

2018 ◽  
Vol 66 (1-2) ◽  
pp. 190-202
Author(s):  
Nenavath Sreenu
Keyword(s):  
Crude Oil ◽  
Jel Classification ◽  
Price Impact ◽  
Oil Price ◽  
Gdp Growth ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Development Activity ◽  
Indian Economy

The article examines the effects of crude oil price shocks on the Indian economy development and GDP growth for the period of 2010–2018. Currently, the Indian economy has been facing the identical issues of escalating trade disparity and continuing inflation. In this connection, the study focussed on the determination of the relationship between the speculation and crude oil price impact on the Indian economic development activity and GDP growth, and the paper investigated how oil price variations affect the Indian economy development through different networks like WPI, CP, IIP, GDP, monetary policy, trade and investment. The research paper adopted methods such as GARCH model and description to tool the volatility on both the oil and stock markets, and then an extension of the vector auto-regression (VAR) models is also applied to determine the oil price shocks’ effect on macroeconomic indicators. The outcomes of cointegration model propose that crude oil is pro-cyclical to output, and the article used VAR investigation to check the discrepancy in decomposition to capture the linear inter-dependencies among the variables. JEL Classification: G4, G11, G15

The effect of crude oil price shocks on macroeconomic stability in Ghana

2020 ◽  
Vol 44 (3) ◽  
pp. 249-277
Author(s):  
John Bosco Dramani ◽  
Prince Boakye Frimpong
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Macroeconomic Stability

scholarly journals The effects of Oil Price Shock on the Indian Economy – A Study

2018 ◽  
Author(s):  
nenavath sreenu
Keyword(s):  
Crude Oil ◽  
Mechanical Stability ◽  
Price Impact ◽  
Oil Price ◽  
Gdp Growth ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Development Activity ◽  
Indian Economy

<div>The paper examines the effects of crude oil price shocks on the Indian economy development and GDP Growth for the period of 2010 till 2018. The present Indian economy growth has been facing the identical issues of escalating the trade disparity and continuing inflation. In this connection, the study focused on the determine relationship between the speculation and crude oil price impact on the Indian economic development activity and GDP growth and the paper investigated the how oil price variations effect on the Indian economy development through different networks, viz. WPI, CP, IIP, GDP, Monetary policy, trade and investment. The paper used methods an GARCH model and description to tool the volatility on both the oil and stock markets and then developed an extension of the GARCH-M, vector auto-regression (VAR) models are also applied to determine the oil price shocks effect on macroeconomic indicators and the outcomes of co integration model propose that crude oil is pro‐cyclical to output, and the paper used VAR investigation to the discrepancy decomposition to capture the linear inter‐dependencies among the variables. The mechanical stability experiments determine that there is no indication of mechanical break in the VAR model.</div>

scholarly journals Structural Effect of Oil Price Shocks and Food Importation on Economic Growth in Nigeria Using SVAR Model

2017 ◽  
Vol 2 (1) ◽  
Author(s):  
Sani Abdulrahman Bala ◽  
Ali Alhassan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Svar Model ◽  
Food Imports

The study empirically examines the effect of oil price shocks and food importation on economic growth in Nigeria along with two control variables i.e. exchange rate and inflation using Structural Vector Autoregressive (SVAR) Model covering the period of 1970 to 2015. The result from SVAR short-run pattern and long-run pattern indicate that GDP has recently been affected by all variables in the model. More also, it indicates a significant permanent effect of crude oil price shocks and food imports on economic growth, while the result further indicates a transitory effect of exchange rate and inflation on economic growth. For significant t-value of the long run SVAR estimate matrix, confirms long effect of crude oil price shocks, food imports, exchange rate and inflation on economic growth in Nigeria. The results from structural response indicate that crude oil have high positive impact on GDP at the initial period and negative impact at the end of the period. Furthermore, food imports have high negative effect on GDP, while GDP response negatively to exchange rate and inflation rate from the period. The result from the structural decompositions indicates that crude oil price and food imports and exchange rate contribute more variability to GDP, while inflation contribute less variability in explaining the variation of GDP in Nigeria. The study recommends that government should come up with a policy that will focus on alternative sources of government revenue by investing more in real sectors especially agriculture in order to withstand vicissitudes of oil shocks in future.

scholarly journals The effects of Oil Price Shock on the Indian Economy – A Study

2018 ◽  
Author(s):  
nenavath sreenu
Keyword(s):  
Crude Oil ◽  
Mechanical Stability ◽  
Price Impact ◽  
Oil Price ◽  
Gdp Growth ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Development Activity ◽  
Indian Economy

<div>The paper examines the effects of crude oil price shocks on the Indian economy development and GDP Growth for the period of 2010 till 2018. The present Indian economy growth has been facing the identical issues of escalating the trade disparity and continuing inflation. In this connection, the study focused on the determine relationship between the speculation and crude oil price impact on the Indian economic development activity and GDP growth and the paper investigated the how oil price variations effect on the Indian economy development through different networks, viz. WPI, CP, IIP, GDP, Monetary policy, trade and investment. The paper used methods an GARCH model and description to tool the volatility on both the oil and stock markets and then developed an extension of the GARCH-M, vector auto-regression (VAR) models are also applied to determine the oil price shocks effect on macroeconomic indicators and the outcomes of co integration model propose that crude oil is pro‐cyclical to output, and the paper used VAR investigation to the discrepancy decomposition to capture the linear inter‐dependencies among the variables. The mechanical stability experiments determine that there is no indication of mechanical break in the VAR model.</div>

scholarly journals HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?

2017 ◽  
Vol 22 (3) ◽  
pp. 666-682 ◽  
Author(s):  
Andrea Bastianin ◽  
Matteo Manera
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Aggregate Demand ◽  
Model Identification ◽  
Oil Price ◽  
Market Volatility ◽  
Oil Price Shocks ◽  
Stock Market Volatility ◽  
Price Shocks ◽  
The Impact

We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, whereas the impact of supply-side shocks is negligible.

scholarly journals Pass-Through of Crude-oil Price Shocks to Consumer Prices in Nigeria: Pre and Post 2008 Global Financial Crisis

2021 ◽  
pp. 115-143
Author(s):  
Eric I. Otoakhia
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Global Financial Crisis ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Price Inflation ◽  
Pass Through ◽  
The Impact

This study investigates the responses of consumer price index (CPI) to crude oil price shocks in the pre- and post-2008 global financial crisis. The study used the Structural Vector Autoregressive model to analyse monthly data from 2000M01 to 2019M12. The impulse response analysis showed that for pre and post-crisis periods, oil price shocks have a positive impact on CPI. This impact was an insignificant direct momentary increase in pre-crisis CPI before dissipating. Conversely, the impact on post crisis CPI response tends to be stable and long-lasting starting from the third month. The confidence bands for the post crisis CPI are large, indicating the long-lasting positive response in the CPI pose no significant threat to price stability in the long run horizon. In conclusion, CPI response varies in terms of intensity for pre and post crisis periods. In terms of level of significance, the effect of the shocks on CPI is transient and insignificant in both periods. The post crisis oil price shock is not a significant channel that created price instability in Nigeria after the crisis and this study recommend partial deregulation of energy price should be maintained. Establishing oil price –inflation pass-through, external shocks like financial crisis should be accounted for.

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