A Treatise on Oil Price Shocks & Their Implications for the UK Financial Sector: Analysis Based on Time-Varying Structural VAR Model

2017 ◽  
Author(s):  
Muhammad Ali Nasir ◽  
Sabih Abbas Razvi ◽  
Matteo Rossi
Keyword(s):  
Financial Sector ◽  
Structural Var ◽  
Oil Price ◽  
Var Model ◽  
Time Varying ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Sector Analysis ◽  
The Uk

scholarly journals Oil price change and Economy relationship :A global review using a nonlinear dynamic model for MENA Countries

2020 ◽  
Vol 24 (2) ◽  
Author(s):  
Essahbi Essaadi ◽  
Rafik Jbir
Keyword(s):  
Price Change ◽  
Oil Prices ◽  
Structural Var ◽  
Oil Price ◽  
Time Varying ◽  
Oil Price Shocks ◽  
Nonlinear Dynamic Model ◽  
Price Shocks ◽  
Mena Countries ◽  
Macroeconomic Effects

This paper studies the macroeconomic effects of oil price shocks in a selection of MENA countries. The oil price shock is identified by assuming that an individual country's performance does not affect world oil prices. We put particular emphasis on the time-varying relationship between oil prices and macroeconomic variables and implement their approach in a Time-Varying Structural VAR model (TV-SVAR) framework. The main findings are that the macroeconomic effects of oil price shocks have evolved over time in MENA countries. Interestingly, however, we do not find a lot of heterogeneity among the MENA countries they consider, even though their list includes both net oil exporters (Algeria, Bahrain, Iran, Kuwait, Saudia Arabia) and net oil importers (Turkey and Tunisia) 

scholarly journals Do Oil Price Shocks Affect Household Consumption?

2019 ◽  
Vol 11 (1) ◽  
pp. 9
Author(s):  
Nabila Zaman
Keyword(s):  
Price Change ◽  
Empirical Work ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Consumer Spending ◽  
Price Shocks ◽  
Consumption Decisions ◽  
The Usa ◽  
The Uk ◽  
The Impact

The paper addresses whether international oil price change has any impact on consumer spending. The study is conducted using Organisation for Economic Co-operation and Development nations, which have been chosen deliberately based on their economic importance and classifying each into oil importing and exporting countries: Canada, Germany, the UK and the USA. Applying the empirical methodology of the vector autoregressive model, we find evidence that international oil price shocks have a significant impact on consumer spending. The analysis is performed with two sets of specification for oil (‘Oil price change’ and ‘Net oil price increase’) and the main tools used for diagnosis are forecast error variance decomposition and impulse–response functions.The results are strongly significant for Canada and the USA. The results for Germany and the UK are mixed, which leads us to an inconclusive decision about the impact on these countries. However, in general, our empirical work supports the evidence that oil prices have some predictive power in influencing consumption decisions across oil-importing and oil-exporting countries.

scholarly journals Inflation Expectations and the Pass-Through of Oil Prices

2021 ◽  
pp. 1-26
Author(s):  
Knut Are Aastveit ◽  
Hilde C. Bjørnland ◽  
Jamie L. Cross
Keyword(s):  
Oil Prices ◽  
Structural Var ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand And Supply ◽  
The Great Recession ◽  
Oil Market ◽  
Pass Through

Abstract Inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global oil market. We establish this result using a structural VAR model of the global oil market that jointly identifies transmissions of oil demand and supply shocks through real oil prices to both expected and actual inflation. We demonstrate that economic activity shocks have a significantly longer lasting effect on inflation expectations and actual inflation than other types of real oil price shocks, and resolve disagreements around the role of oil prices in explaining the missing deflation puzzle of the Great Recession.

scholarly journals The response of remittances inflows to asymmetric oil price shocks in Egypt

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohamed Samir Abdalla Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
Content Type

Purpose The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks. Design/methodology/approach This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest. Findings The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases. Originality/value This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.

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