Panel threshold effect of oil price changes on monetary policy: Empirical evidence from oil importing versus oil exporting countries

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

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The link between monetary policy and the direct European office market: some empirical evidence

10.15396/eres2017_55 ◽

2017 ◽

Author(s):

Arnaud Simon ◽

Alain Coen ◽

Benoit Lefebvre

Keyword(s):

Monetary Policy ◽

Empirical Evidence ◽

Office Market

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The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets

Journal of Management Info ◽

10.31580/jmi.v5i1.26 ◽

2018 ◽

Vol 5 (1) ◽

pp. 1-12

Author(s):

Elias Randjbaran ◽

Reza Tahmoorespour ◽

Marjan Rezvani ◽

Meysam Safari

Keyword(s):

Stock Returns ◽

Oil And Gas ◽

Negative Relationship ◽

The United States ◽

Oil Price ◽

Price Variation ◽

Price Changes ◽

Price Fluctuations ◽

Food And Beverage ◽

The Impact

This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.

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DAMPAK VOLATILITAS HARGA MINYAK DI INDONESIA TERHADAP PENYESUAIAN KESEIMBANGAN FISKAL

Kajian Ekonomi dan Keuangan ◽

10.31685/kek.v15i2.91 ◽

2015 ◽

Vol 15 (2) ◽

pp. 37-52

Author(s):

Mahpud Sujai

Keyword(s):

Linear Trend ◽

The State ◽

Oil Price ◽

Output Gap ◽

State Budget ◽

Price Changes ◽

Potential Output ◽

Budget Cycle ◽

Actual Output ◽

The Impact

This paper is intended to analyze the effect of oil price changes on potential output and actual output in the state budget cycle and identifies the output gap which is the difference between potential output and actual output. The research methodology uses a quantitative approach to analyze problems that occur related to the impact of oil price changes to the state budget cycle. Data analysis was carried out through the approach cyclically adjusted fiscal balance with a simplified approach. This research identified that the potential output is likely to continue increasing in line with Indonesia's oil price trends which is continue to rise following the world oil price movements. In calculating the output gap using a linear trend and HP filter, the result is fuctuating depend on the percentage changes in both potential output and actual output. This paper concludes that Indonesian oil price (ICP) has a significant impact on changes in the state budget cycle. If oil prices rise, the output gap between potential output and actual output is greater, and vice versa. This will make the budget vulnerable to shock that occurs as an external infuence.

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The Effects of Oil Prices Changes on Output Growth and Inflation: Evidence from Turkey

Journal of Economics and Behavioral Studies ◽

10.22610/jebs.v5i11.446 ◽

2013 ◽

Vol 5 (11) ◽

pp. 730-739 ◽

Cited By ~ 1

Author(s):

Pelin Ã–GE GÃœNEY

Keyword(s):

Time Series Data ◽

Output Growth ◽

Oil Price ◽

Series Data ◽

Negative Effects ◽

Price Changes ◽

Asymmetric Effects ◽

Price Increases ◽

Causality Tests ◽

The Impact

This paper investigates the effects of oil price changes on output and inflation for the case of Turkey using monthly time series data for the period 1990:1â€“2012:3. Recent studies suggest that oil price changes may have asymmetric effects on the macroeconomic variables. To account for asymmetric effects, we decompose oil price changes into positive and negative parts following Hamilton (1996). Our results show that while oil price increases have clear negative effects on output growth, the impact of oil price decline is insignificant. Similarly, oil price increases have positive and significant effects on inflation. However, oil price declines have not a significant effect on inflation. The Granger causality tests also support these results.

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