Disentangling Labor Supply and Demand Shocks Using Spatial Wage Dispersion: The Case of Oil Price Shocks

2013 ◽  
Author(s):  
Matthias Kehrig ◽  
Nicolas Ziebarth
Keyword(s):  
Labor Supply ◽  
Supply And Demand ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Wage Dispersion ◽  
Price Shocks ◽  
Demand Shocks ◽  
Supply And Demand Shocks ◽  
Labor Supply And Demand

scholarly journals State of Shocks Synchronization among Members of the GCC

2017 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Ashraf Nakibullah
Keyword(s):  
Supply And Demand ◽  
Aggregate Demand ◽  
Oil Price ◽  
Model Specification ◽  
Structural Shocks ◽  
Demand Shocks ◽  
Gcc Countries ◽  
Aggregate Supply ◽  
Supply And Demand Shocks ◽  
Svar Model

This paper examines fluctuations of aggregate supply and demand shocks across the GCC countries. It argues that the world oil price influences aggregate demand and supply of these countries. Thus, in contrast to other studies, a SVAR model is used to identify structural shocks by including the oil price. The aggregate supply and demand shocks are then analyzed. The correlations of supply shocks among the member countries are either negative or low positive. Similarly, the correlations of demand shocks, except few pairs of countries, are also negative and low positive. Thus, shocks are not synchronized. These results are different than the results found in other similar studies probably due to the model specification. The implication of the findings is that the GCC countries would find it difficult to adjust supply and demand shocks if they form their aspired Gulf Monetary Union.

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.

Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

2018 ◽  
Vol 41 (1/2/3/4) ◽  
pp. 25 ◽  
Author(s):  
Abderrazak Dhaoui ◽  
Khaled Guesmi ◽  
Youssef Saidi ◽  
Saad Bourouis
Keyword(s):  
Supply And Demand ◽  
Equity Markets ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Effects

Demand, supply, monetary policy, and oil price shocks in the Russian economy (Analysis based on the BVAR model with sign restrictions)

2020 ◽  
pp. 83-104
Author(s):  
D. A. Lomonosov ◽  
A. V. Polbin ◽  
N. D. Fokin
Keyword(s):  
Monetary Policy ◽  
Positive Impact ◽  
Oil Price ◽  
Monetary Shocks ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Russian Economy ◽  
Sign Restrictions ◽  
The Impact

This paper considers a simple Bayesian vector autoregressive model for the Russian economy based on data for real GDP, GDP deflator and oil price as an exogenous variable that acts as a proxy variable for the terms of trade. Along with the impact of oil price shocks, the model estimates the impact of supply and demand shocks, the identification of which is based on the approach of sign restrictions. According to the results obtained, at the end of 2014 and in 2015, demand shocks had a positive impact on GDP growth, which can be interpreted as a positive effect of the ruble devaluation at the end of 2014. In the next years, demand shocks led mainly to a slowdown in economic growth. The paper also attempts to identify monetary policy shocks and assesses their impact on GDP, household consumption and investment. According to the results, the effect of monetary shocks in 2015—2019 on all endogenous variables was negative. However, an increase in the interest rate at the end of 2014 is identified mostly as an endogenous reaction to other shocks, and the effect of the monetary shock on GDP in 2015 is nearly zero. In 2017, monetary shocks slowed down GDP by 0.92 percentage points.

The impact of oil price shocks on Turkish sovereign yield curve

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Oğuzhan Çepni ◽  
Selçuk Gül ◽  
Muhammed Hasan Yılmaz ◽  
Brian Lucey
Keyword(s):  
Yield Curve ◽  
Structural Var ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Content Type ◽  
Identification Scheme ◽  
The Impact

PurposeThis paper aims to investigate the impact of oil price shocks on the Turkish sovereign yield curve factors.Design/methodology/approachTo extract the latent factors (level, slope and curvature) of the Turkish sovereign yield curve, we estimate conventional Nelson and Siegel (1987) model with nonlinear least squares. Then, we decompose oil price shocks into supply, demand and risk shocks using structural VAR (structural VAR) models. After this separation, we apply Engle (2002) dynamic conditional correlation GARCH (DCC-GARCH (1,1)) method to investigate time-varying co-movements between yield curve factors and oil price shocks. Finally, using the LP (local projections) proposed by Jorda (2005), we estimate the impulse-response functions to examine the impact of different oil price shocks on yield curve factors.FindingsOur results demonstrate that the various oil price shocks influence the yield curve factors quite differently. A supply shock leads to a statistically significant increase in the level factor. This result shows that elevated oil prices due to supply disruptions are interpreted as a signal of a surge in inflation expectations since the cost channel prevails. Besides, unanticipated demand shocks have a positive impact on the slope factor as a result of the central bank policy response for offsetting the elevated inflation expectations. Finally, a risk shock is associated with a decrease in the curvature factor indicating that risk shocks influence the medium-term bonds due to the deflationary pressure resulting from depressed economic conditions.Practical implicationsOur results provide new insights to understand the driving forces of yield curve movements induced by various oil shocks to formulate appropriate policy responses.Originality/valueThe study contributes to the literature by two main dimensions. First, the recent oil shock identification scheme of Ready (2018) is modified using the “geopolitical oil price risk index” to capture the changes in the risk perceptions of oil markets driven by geopolitical tensions such as terrorism and conflicts and sanctions. The modified identification scheme attributes more power to demand shocks in explaining the variation of the oil price compared to that of the baseline scheme. Second, it provides recent evidence that distinguishes the impact of oil demand and supply shocks on Turkey's yield curve.

scholarly journals The macroeconomics of "Oil Prices" and "Economic Shocks": Lessons from the 1970s

2015 ◽  
Vol 5 (4) ◽  
pp. 79-90
Author(s):  
Deepanshu Mohan
Keyword(s):  
Monetary Policy ◽  
Supply And Demand ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Economic Shocks ◽  
Price Shocks ◽  
Oil Price Shock ◽  
Per Se ◽  
The Relationship ◽  
The U.S

This paper examines the relationship between oil price shocks and recessions and focuses particularly on the period of stagflation in the 1970s. Nearly every recession in the U.S. since WWII has been preceded by an oil price shock, and examining the literature as to the causal mechanisms finds there are a range of opinions from supply and demand side factors to the precipitated monetary policy response. Evaluating these across a number of countries finds that the mechanisms at play are complex and disputed. This paper reviews the literature and evaluates the various theories put forward before concluding that whilst oil plays a key role in the economy, the recessions following oil price shocks are more likely to be as a result of monetary policy decisions than the oil price shocks per se.

Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

2018 ◽  
Vol 41 (1/2/3/4) ◽  
pp. 25
Author(s):  
Abderrazak Dhaoui ◽  
Khaled Guesmi ◽  
Youssef Saidi ◽  
Saad Bourouis
Keyword(s):  
Supply And Demand ◽  
Equity Markets ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Effects
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