Modelling oil price volatility before, during and after the global financial crisis

The main objective of this study is to analyze the policies adopted by Arab countries to recover from the global financial crisis (GFC) in 2008. The study highlights the fiscal and monetary policies that were applied by Arab countries to maintain economic activity. The study shows that Arab countries primarily relied on a mix of fiscal policies to stimulate the economy. As a result, the accumulated oil revenues enabled them to respond quickly, preventing a deeper deceleration in growth and also supporting a growth rebound. However, for countries with limited fiscal space, macroeconomic and oil revenue management became more challenging. Strategies aimed at increasing non-oil sources of growth are recommended to help reduce the vulnerability of these countries to excessive oil price volatility. JEL Classifications: E520, E620, O40, P470

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Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Economies ◽

10.3390/economies7010001 ◽

2018 ◽

Vol 7 (1) ◽

pp. 1 ◽

Cited By ~ 5

Author(s):

Lorna Katusiime

Keyword(s):

Financial Crisis ◽

Global Financial Crisis ◽

Exchange Rate Volatility ◽

Price Volatility ◽

Spillover Effects ◽

Commodity Price ◽

Volatility Spillover ◽

Conditional Correlation ◽

Volatility Spillovers ◽

The Global Financial Crisis

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability: the nominal Uganda shilling per United States dollar (UGX/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC), constant conditional correlation (CCC), and varying conditional correlation (VCC) models. Overall, the results of both the GVAR and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis periods, at which point cross-market volatility spillovers and market interconnectedness sharply and markedly increased. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to an amplification of dynamic conditional correlations during and after the global financial crisis (GFC), suggesting an increase in volatility spillovers and interdependence between these markets following the global financial crisis. This is also confirmed by the results of the total spillover index based on the GVAR analysis, which shows low but time-varying volatility spillover that intensified during periods of high uncertainty and market crises, particularly during the global financial crisis and sovereign debt crisis periods.

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What Has Driven the U.S. Monthly Oil Production Since 2009? Empirical Results from Two Modeling Approaches

Journal of Risk and Financial Management ◽

10.3390/jrfm14020081 ◽

2021 ◽

Vol 14 (2) ◽

pp. 81

Author(s):

Ramaprasad Bhar ◽

Anastasios G. Malliaris ◽

Mary Malliaris

Keyword(s):

Financial Crisis ◽

Crude Oil ◽

Global Financial Crisis ◽

Price Volatility ◽

Oil Production ◽

High Yield ◽

Modeling Approaches ◽

Crude Oil Production ◽

The One ◽

The Global Financial Crisis

From the early 1970s to the Global Financial Crisis of 2007–09, U.S. crude oil production followed a declining trend. After the Global Financial Crisis, U.S. crude oil production increased rapidly. This paper addresses the important question “what economic factors have driven U.S. crude oil production since the Global Financial Crisis?”. We propose that factors such as: the price of oil, the one period lagged price of oil, the price of copper, the crude oil price volatility, the Trade Weighted U.S. Dollar Index, and the high yield index spread, are important explanatory variables. Using two modeling approaches, namely, multiple regression, and the random tree methodology, we conclude that the one month lagged price of oil is the most significant explanatory variable, among all considered, for the upward trend of U.S. oil production from 2009 to early 2020.

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On the formation of a New Paradigm of fiscal Policy

Voprosy Ekonomiki ◽

10.32609/0042-8736-2013-6-152-158 ◽

2013 ◽

pp. 152-158 ◽

Cited By ~ 2

Author(s):

V. Senchagov

Keyword(s):

Public Finance ◽

Fiscal Policy ◽

Financial Crisis ◽

Global Financial Crisis ◽

Domestic Demand ◽

Real Economy ◽

New Paradigm ◽

Monetary Aggregate ◽

The Past ◽

The Global Financial Crisis

Due to Russia’s exit from the global financial crisis, the fiscal policy of withdrawing windfall spending has exhausted its potential. It is important to refocus public finance to the real economy and the expansion of domestic demand. For this goal there is sufficient, but not realized financial potential. The increase in fiscal spending in these areas is unlikely to lead to higher inflation, given its actual trend in the past decade relative to M2 monetary aggregate, but will directly affect the investment component of many underdeveloped sectors, as well as the volume of domestic production and consumer demand.

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ASPEK ETIK DAN SISTEMIK DALAM EKONOMI DAN BISNIS ISLAM

ALQALAM ◽

10.32678/alqalam.v31i1.1110 ◽

2014 ◽

Vol 31 (1) ◽

pp. 187

Author(s):

Budi Harsanto

Keyword(s):

Financial Crisis ◽

Business Ethics ◽

Moral Hazard ◽

Global Financial Crisis ◽

Financial Institution ◽

Research Question ◽

Academic Journals ◽

Lehman Brothers ◽

The World ◽

The Global Financial Crisis

The fall of Enron, Lehman Brothers and other major financial institution in the world make researchers conduct various studies about crisis. The research question in this study is, from Islamic economics and business standpoint, why the global financial crisis can happen repeatedly. The purpose is to contribute ideas regarding Islamic viewpoint linked with the global financial crisis. The methodology used is a theoretical-reflective to various article published in academic journals and other intellectual resources with relevant themes. There are lots of analyses on the causes of the crisis. For discussion purposes, the causes divide into two big parts namely ethics and systemic. Ethics contributed to the crisis by greed and moral hazard as a theme that almost always arises in the study of the global financial crisis. Systemic means that the crisis can only be overcome with a major restructuring of the system. Islamic perspective on these two aspect is diametrically different. At ethics side, there is exist direction to obtain blessing in economics and business activities. At systemic side, there is rule of halal and haram and a set of mechanism of economics system such as the concept of ownership that will early prevent the seeds of crisis. Keywords: Islamic economics and business, business ethics, financial crisis

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