The Effect of Crude Oil Prices on Inflation and Interest Rates in India: Evidence from DCC-GARCH Model

2015 ◽  
Author(s):  
Akash Malhotra ◽  
Shailesh Krishna
Keyword(s):  
Crude Oil ◽  
Interest Rates ◽  
Garch Model ◽  
Oil Prices ◽  
Crude Oil Prices

scholarly journals The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model

2019 ◽  
pp. 1-12
Author(s):  
David Adugh Kuhe
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Price ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run

This study investigates the dynamic relationship between crude oil prices and stock market price volatility in Nigeria using cointegrated Vector Generalized Autoregressive conditional Heteroskedasticity (VAR-GARCH) model. The study utilizes monthly data on the study variables from January 2006 to April 2017 and employs Dickey-Fuller Generalized least squares unit root test, simple linear regression model, unrestricted vector autoregressive model, Granger causality test and standard GARCH model as methods of analysis. Results shows that the study variables are integrated of order one, no long-run stable relationship was found to exist between crude oil prices and stock market prices in Nigeria. Both crude oil prices and stock market prices were found to have positive and significant impact on each other indicating that an increase in crude oil prices will increase stock market prices and vice versa. Both crude oil prices and stock market prices were found to have predictive information on one another in the long-run. A one-way causality ran from crude oil prices to stock market prices suggesting that crude oil prices determine stock prices and are a driven force in Nigerian stock market. Results of GARCH (1,1) models show high persistence of shocks in the conditional variance of both returns. The conditional volatility of stock market price log return was found to be stable and predictable while that of crude oil price log return was found to be unstable and unpredictable, although a dependable and dynamic relationship between crude oil prices and stock market prices was found to exist. The study provides some policy recommendations.

scholarly journals THE EFFECT OF CRUDE OIL PRICES ON INFLATION, INTEREST RATES AND ECONOMIC GROWTH IN INDONESIA

2019 ◽  
Vol 9 (5) ◽  
pp. 14-19
Author(s):  
Rostin Rostin ◽  
Abd Azis Muthalib ◽  
Pasrun Adam ◽  
Muh. Nur ◽  
Zainudin Saenong ◽  
...  
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Interest Rates ◽  
Oil Prices ◽  
Crude Oil Prices

scholarly journals THE EFFECT OF TRANSFERING ISRAEL CAPITAL CITY TO JERUSALEM TOWARD INDONESIA MACRO ECONOMY

2020 ◽  
Vol 3 (2) ◽  
pp. 260-282
Author(s):  
Liliek Nur Sulistiyowati
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Crude Oil ◽  
Interest Rates ◽  
Oil Prices ◽  
Donald Trump ◽  
State Budget ◽  
Crude Oil Prices ◽  
Macroeconomic Indicators ◽  
The Impact

United States President Donald Trump has just issued a controversial policy by giving Jerusalem recognition as the capital of Israel. This controversial policy triggered a strong reaction from a number of countries, especially Islamic countries including Indonesia. Indonesia through President Jokowidodo strongly condemned the policy of moving the Israeli capital to Jerusalem because it would disrupt political and security stability in the Middle East region. In the midst of the political impact caused by President Donald Trump's policies also affected the global economy. The world stock exchanges reacted immediately with the existence of these policies, one of which was the fall of the stock market index in Japan and South Korea due to investor concerns. The impact of the policies implemented by President Donald Trump also affected the Indonesian economy. This policy will affect the financial markets and capital markets in Indonesia. Trump's policy triggered an increase in the US $ exchange rate against the currencies of other countries including the Indonesian currency. Some of the negative effects on the Indonesian economy were the increase in world crude oil prices. Indonesia is currently no longer an oil exporting country, so that with the increase in world crude oil prices it will provide a fiscal burden in the State Budget (APBN). Fuel subsidies in the state budget will increase along with the increase in world crude oil prices that occur. In addition to the impact on the rupiah exchange rate against the US $, Donald Trump's policy also affects the inflation rate and the SBI interest rate. Through 2018, Bank Indonesia has raised the SBI interest rate by 150 basis points (bps) or 1.5%. The BI Governor explained that one reason for changing the benchmark interest rate was US monetary policy. The determination of high SBI interest rates also had an effect on reducing inflationary pressures. This study aims to look at the influence of President Donald Trump's policies regarding the transfer of the Israeli capital to Jerusalem against Indonesia's macroeconomic indicators. Indonesia's macroeconomic indicators are seen from 3 variables, such as the inflation rate, SBI interest rates and the rupiah exchange rate against US $ Key words :  Donald Trump, inflation, SBI interest rates, exchange rates / exchange rates  

scholarly journals Comparative Modelling of Price Volatility in Nigerian Crude Oil Markets Using Symmetric and Asymmetric GARCH Models

2021 ◽  
pp. 35-54
Author(s):  
Deebom Zorle Dum ◽  
Mazi Yellow Dimkpa ◽  
Chims Benjamin Ele ◽  
Richard Igbudu Chinedu ◽  
George Laurretta Emugha
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Egarch Model ◽  
Asymmetric Garch ◽  
Student’S T

The study aimed at developing an appropriate GARCH model for modelling in Nigerian Crude Oil Prices Markets using symmetric and Asymmetric GARCH models while the specific objectives of the study include to: build an appropriate Symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedacity (GARCH) model for Nigerian Crude Oil Prices, compare the advantage of using Symmetric and Asymmetric GARCH.  The data for the study was extracted from the Central Bank of Nigeria online statistical database starting from January, 1982 to December, 2018. The software used in estimating the parameters of the model is Econometric view (Eview) software version ten (10). Two classes of models were used in the study; they are symmetric and Asymmetric GARCH models. The results of the estimated models revealed that Asymmetric GARCH model (EGARCH (1,1) in student’s-t error assumption gave a better fit than the first order Symmetric GARCH models. Also, Using EGARCH (1,1) models with their corresponding error distribution in estimating crude oil price was found that the larger the size of the estimated news components of the model, the higher the negative news associated with high impact of volatility. This means that conditional volatility estimated using EGARCH model has strong asymmetric characteristic which is prone to news sensitivity. Based on the above findings, recommendations were made in the study.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

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