Understanding the Oil Price Movement: Short Versus Long Run Using the Leap Frog Model

2016 ◽  
Author(s):  
Yosef Bonaparte
Keyword(s):  
Oil Price ◽  
Price Movement ◽  
Long Run ◽  
Frog Model

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

scholarly journals Shades between Black and Green Investment: Balance or Imbalance?

2021 ◽  
Vol 13 (9) ◽  
pp. 5024
Author(s):  
 Vítor Manuel de Sousa Gabriel ◽  
María Mar Miralles-Quirós ◽  
José Luis Miralles-Quirós
Keyword(s):  
Risk Factor ◽  
Oil Prices ◽  
Oil Price ◽  
Short Term ◽  
Environmental Indices ◽  
Long Run ◽  
Green Investment ◽  
Bounds Test

This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long-term and short-term relationships. For that purpose, we employ the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pattern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short-term, it was possible to conclude that, in contemporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals OIL PRICE BEHAVIOUR, EXCHANGE RATE MOVEMENT AND THE COVID-19 PANDEMIC IN NIGERIA: ANALYSIS OF THE FIRST THREE QUARTERS OF 2020

2021 ◽  
Vol 6 (1) ◽  
pp. 51-61
Author(s):  
Jimoh O. Saka
Keyword(s):  
Exchange Rate ◽  
Rate Increase ◽  
Discharge Rate ◽  
Oil Price ◽  
Fatality Rate ◽  
Test Statistic ◽  
Exchange Rate Movement ◽  
The Third ◽  
Corona Virus ◽  
Long Run

This paper evaluates the response of oil price and exchange rate to the corona virus pandemic shock aside from the link between oil price and exchange rate for the first three quarters of 2020 in Nigeria. The theoretical framework emanates from the informal approach and the terms of trade channels. Using VAR cointegration approach, results show existence of long run relationship among the oil price, exchange rate movement and the corona virus indicators based on Max-Eigen and Trace test statistic. End of first quarter oil price, discharge rate and fatality rate negatively relate with current exchange rate. First quarter exchange rate and fatality rate positively relates to oil price behaviour in the third quarter while end of first quarter discharge rate increase fosters oil price decline. First quarter spread rate increase gradually reduces oil demand and the price in the third quarter. All corona virus indicators and exchange rate variable Granger Cause current oil price. Diversification is key to widen export base and increase foreign exchange and stability. Policy measures to sustain the economy in the post COVID-19 and beyond are necessary for long term development.

scholarly journals Do High Oil Prices Obstruct the Transition to Renewable Energy Consumption?

2020 ◽  
Vol 12 (11) ◽  
pp. 4689 ◽  
Author(s):  
Shahriyar Mukhtarov ◽  
Jeyhun I. Mikayilov ◽  
Sugra Humbatova ◽  
Vugar Muradov
Keyword(s):  
Economic Growth ◽  
Renewable Energy ◽  
Energy Consumption ◽  
Negative Impact ◽  
Oil Prices ◽  
Oil Price ◽  
Renewable Energy Consumption ◽  
Long Run ◽  
Carbon Dioxide Co2 ◽  
The Impact

The study analyzes the impact of economic growth, carbon dioxide (CO2) emissions, and oil price on renewable energy consumption in Azerbaijan for the data spanning from 1992 to 2015, utilizing structural time series modeling approach. Estimation results reveal that there is a long-run positive and statistically significant effect of economic growth on renewable energy consumption and a negative impact of oil price in the case of Azerbaijan, for the studied period. The negative impact of oil price on renewable energy consumption can be seen as an indication of comfort brought by the environment of higher oil prices, which delays the transition from conventional energy sources to renewable energy consumption for the studied country case. Also, we find that the effect of CO2 on renewable energy consumption is negative but statistically insignificant. The results of this article might be beneficial for policymakers and support the current literature for further research for oil-rich developing countries.

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

scholarly journals Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling

Energies ◽  
2019 ◽  
Vol 12 (21) ◽  
pp. 4072 ◽  
Author(s):  
Alexandra Horobet ◽  
Georgiana Vrinceanu ◽  
Consuela Popescu ◽  
Lucian Belascu
Keyword(s):  
Panel Data ◽  
Crude Oil ◽  
Stock Prices ◽  
Financial Sector ◽  
Oil Price ◽  
Real Economy ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Oil Price Risk ◽  
The Eu

Crude oil is an indispensable resource for the world economy and European Union (EU) countries are strongly dependent on oil imports. In a framework defined by generally positive correlations between oil and stock prices, the paper investigates the relationship between financial companies’ stock prices and crude oil price using a sample of major financial companies headquartered in the EU. The link between stock prices and oil price risk is modelled using a set of macroeconomic variables that includes local stock market indices, the EUR/USD exchange rate, the oil imports dependency, inflation rate, and global volatility indices. We employ panel data as the base econometric model and an ARDL extension that is more appropriated for our research objectives. Our findings show that the EU financial sector is pervasively exposed to oil price changes over the long-run and this exposure is a component of financial companies’ exposure to real economy risk factors, which points towards the key role of the financial sector in the EU economy in transmitting systemic shocks. At the same time, we detect signs of a different behavior of market investors over the short-versus the long-run concerning the valuation of financial companies’ stock prices in relation to oil price and other macroeconomic variables, which raises distressing challenges for financial authorities.

scholarly journals Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015)

2016 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Waheed Ibrahim
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Terms Of Trade ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Abstract This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2), nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price) is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

Sign in / Sign up

Export Citation Format

Share Document