Oil Price Shocks: A Measure of the Exogenous and Endogenous Supply Shocks of Crude Oil

2016 ◽  
Author(s):  
A. Economou ◽  
P. Agnolucci
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Supply Shocks ◽  
Endogenous Supply

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 Oil Price Shocks and Energy Stock Returns of ASEAN-5 Countries: Evidence from Ready’s (2018) Decomposition Technique in a Markov Regime Switching Framework

2021 ◽  
Vol 50 (4) ◽  
pp. 1143-1156
Author(s):  
Adilah Azhari ◽  
Mukhriz Izraf Azman Aziz ◽  
Yong Kang Cheah ◽  
Hazrul Shahiri
Keyword(s):  
Stock Returns ◽  
Regime Switching ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Decomposition Technique ◽  
Price Shocks ◽  
Markov Regime Switching ◽  
Demand Shocks ◽  
Supply Shocks ◽  
High Volatility

The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in a Markov Regime Switching framework. The approach solves certain shortcomings of the novel procedure from Kilian by incorporating daily forward-looking prices of traded financial asset. The regime switching regression provides the evidence of strong nonlinear association of stock returns to risk shocks and demand shocks despite the absence of strong regime effects. We also demonstrate that positive demand shocks increase stock returns, whereas positive risk shocks negatively impact stock returns. For supply shocks, findings show that oil supply shocks do not significantly impact stock returns for Malaysia and Singapore. For Indonesia, supply shocks have a significant positive effect only in high volatility state. In the case of Thailand and the Philippines, the effects of supply shocks are negative and significant in high volatility state; but are not significant in low volatility state. Overall, our results suggest that demand shock has a greater economic impact than supply and risk shocks as demonstrated previously by Kilian and Park and Ready.

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 Oil Price Shocks and Fiscal Spending in Oil Producing Economy: The Role of Asymmetry

2018 ◽  
pp. 1-10
Author(s):  
Bernard Olagboyega Muse
Keyword(s):  
Crude Oil ◽  
Empirical Finding ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Asymmetric Impact ◽  
The Impact ◽  
Fiscal Spending

Given their over reliance on proceeds from the sale of crude oil, fiscal spending in the oil-producing economy are often characterised with some specific challenges mainly due to the uncertainty in the nature of oil price movements in the international crude oil market. Motivated by the historical up – down trends in the international oil prices and their potential implications particularly for oil-producing countries, this paper explores linear and non-linear ARDL frameworks to examine the symmetric and asymmetric impact of oil price shocks on fiscal spending. Using the case of the Nigerian economy, this empirical finding suggests that shocks to international oil prices did matter for fiscal spending in the oil-producing economy. On the direction of the impact of the shocks, the finding of the non-rejection of the null hypothesis of no asymmetry thus implies that fiscal spending in Nigeria reacts indifferently to either a positive or negative oil price shocks.

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.

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