scholarly journals Spillover and Drivers of Uncertainty among Oil and Commodity Markets

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 441
Author(s):  
Muhammad Abubakr Naeem ◽  
Saqib Farid ◽  
Safwan Mohd Nor ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Implied Volatility ◽  
Global Financial Crisis ◽  
Causal Effect ◽  
Forecast Error ◽  
Error Variance ◽  
Commodity Markets ◽  
Policy Uncertainty ◽  
Volatility Risk ◽  
Forecast Error Variance ◽  
The Global Financial Crisis

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.

The influence of economic policy uncertainty and geopolitical risk on US citizens overseas air passenger travel by regional destination

2020 ◽  
pp. 135481662098119
Author(s):  
James E Payne ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Air Travel ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Passenger Travel ◽  
Forecast Error Variance

This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic policy uncertainty explains more of the forecast error variance of US overseas air travel, followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.

scholarly journals TIME-VARYING MACROECONOMIC IMPACTS OF GLOBAL ECONOMIC POLICY UNCERTAINTY TO A SMALL OPEN ECONOMY: EVIDENCE FROM INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 129-148
Author(s):  
Sekar Utami Setiastuti
Keyword(s):  
Economic Policy ◽  
Open Economy ◽  
Trade Balance ◽  
Forecast Error ◽  
Small Open Economy ◽  
Error Variance ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Forecast Error Variance ◽  
Macroeconomic Impacts

This paper studies macroeconomic impacts of global economic policy uncertainty shocks to a small open economy. To that end, I use monthly Indonesian data along with a measure of global economic policy uncertainty developed by Baker et al. (2016) and Davis (2016) and estimate a time-varying parameter Bayesian structural VAR with non-recursive identification using framework proposed by Canova and Pérez Forero (2015). I find that global economic policy uncertainty shocks lead to a reduction in prices, interest rate, and trade balance in all global events included in the estimation. The impact on output, however, largely varies across events. A surprise movement of global economic policy uncertainty triggers a contraction in output around the 2008 global financial crisis but, following the 2016 US presidential election, output reacts positively to the shock. Despite these notable variations in the responses of output, the proportion of the forecast error variance of output due to the shock is very small and decreases rapidly over time—which indicates that the shock presents an inconsequential effect to output. Nonetheless, the proportion of the forecast error variance of trade balance due to the shock is considerably higher than the forecast error variance of output and inflation. This further suggests that, via international trade, a global economic policy uncertainty shock could still pose harm for Indonesia.

scholarly journals Predicting Water Availability in Water Bodies under the Influence of Precipitation and Water Management Actions Using VAR/VECM/LSTM

Climate ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 144
Author(s):  
Harleen Kaur ◽  
Mohammad Afshar Alam ◽  
Saleha Mariyam ◽  
Bhavya Alankar ◽  
Ritu Chauhan ◽  
...  
Keyword(s):  
Water Management ◽  
Short Term Memory ◽  
Forecast Error ◽  
Error Variance ◽  
Water Levels ◽  
Water Bodies ◽  
Economic Activities ◽  
Management Actions ◽  
Forecast Error Variance ◽  
Water Treatments

Recently, awareness about the significance of water management has risen as population growth and global warming increase, and economic activities and land use continue to stress our water resources. In addition, global water sustenance efforts are crippled by capital-intensive water treatments and water reclamation projects. In this paper, a study of water bodies to predict the amount of water in each water body using identifiable unique features and to assess the behavior of these features on others in the event of shock was undertaken. A comparative study, using a parametric model, was conducted among Vector Autoregression (VAR), the Vector Error Correction Model (VECM), and the Long Short-Term Memory (LSTM) model for determining the change in water level and water flow of water bodies. Besides, orthogonalized impulse responses (OIR) and forecast error variance decompositions (FEVD) explaining the evolution of water levels and flow rates, the study shows the significance of VAR/VECM models over LSTM. It was found that on some water bodies, the VAR model gave reliable results. In contrast, water bodies such as water springs gave mixed results of VAR/VECM.

Politics and Economic Policymaking in South Africa since 1994

2021 ◽  
pp. 65-90
Author(s):  
Alan Hirsch ◽  
Brian Levy ◽  
Musa Nxele
Keyword(s):  
South Africa ◽  
Black People ◽  
Global Financial Crisis ◽  
Slow Growth ◽  
Economic Transformation ◽  
Policy Uncertainty ◽  
The Poor ◽  
The Global Financial Crisis ◽  
Growth Economic ◽  
Political Settlement

Economic policy in South Africa since 1994 has confronted the imperative to include middle class, working class and poor black people more fully into the economy in circumstances which circumscribe the scope for constructive negotiation and lasting agreement. The new regime of 1994 sought a political settlement which allowed stronger growth, economic transformation of the elite and economic inclusion of the poor. After meeting with some success, the combination of the global financial crisis and new political leadership led to policy uncertainty, increasing corruption and some deterioration of state capacity, which resulted in exceptionally slow growth. The puzzle this chapter engages with is why the struggle over rents has stood in the way of a mutually beneficial deal.

scholarly journals Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model

2018 ◽  
Vol 10 (4) ◽  
pp. 17
Author(s):  
Moayad H. Al Rasasi
Keyword(s):  
Exchange Rate ◽  
Forecast Error ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Oil Prices ◽  
Error Variance ◽  
Monetary Model ◽  
Forecast Error Variance ◽  
Positive Shock

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.

scholarly journals KAJIAN AKTIVITAS EKONOMI LUAR NEGERI INDONESIA TERHADAP PERTUMBUHAN EKONOMI INDONESIA PERIODE 1998-2014

2017 ◽  
Vol 9 (2) ◽  
pp. 119
Author(s):  
Ryan Hawari ◽  
Fitri Kartiasih
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Forecast Error ◽  
Foreign Debt ◽  
Trade Openness ◽  
Impulse Response Function ◽  
Error Variance ◽  
Forecast Error Variance

Indonesia is a developing country which adopts an “open economic”. That caused Indonesia economic is strongly influenced by factors that come from outside of Indonesia. External factors in this research is referred to foreign debt, foreign direct investment, trade openness and exchange rate of rupiah with USD. The analytical method in this research used Vector Error Correction Model (VECM) which will focused on Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). Based on result of IRF, exchange rate had a positive effect to economic growth, while foreign debt, foreign direct investment and trade openness had a negative effect to economic growth. Based on result of FEVD, shock on economic growth in Indonesia affected by economic growth itself (43.21%), followed by foreign debt (26.30%), trade openness (14.16%), foreign direct investment (8.29%) and exchange rate (8.04%) Keywords: economic growth, trade openness, VECM, IRF, FEVD

THE PRICE OF COCAINE AND THE COLOMBIAN PESO: AN EMPIRICAL INVESTIGATION

2019 ◽  
Vol 19 (03) ◽  
pp. 1950015
Author(s):  
ALEXI THOMPSON ◽  
YAYA SISSOKO
Keyword(s):  
Forecast Error ◽  
Control Policy ◽  
Error Variance ◽  
Decomposition Methods ◽  
Nominal Exchange Rate ◽  
Policy Implications ◽  
Vector Error Correction ◽  
National Drug ◽  
Forecast Error Variance ◽  
National Drug Control Policy

While the underground economy is not explicitly included in the measure of (GDP), the cocaine trade has been a major source of revenue for Colombia. Using quarterly cocaine prices from 1982 to 2007 published by the Office of National Drug Control Policy, this paper uses vector error correction and forecast error variance decomposition methods to look at the relationship between cocaine prices and the peso/$ nominal exchange rate. Our results indicate cocaine prices affect the value of the Colombian peso, which leads to some interesting policy implications.

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