scholarly journals The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods

2018 ◽  
Vol 10 (8) ◽  
pp. 2792 ◽  
Author(s):  
Hyunjoo Kim Karlsson ◽  
Yushu Li ◽  
Ghazi Shukur
Keyword(s):  
Interest Rate ◽  
Impulse Response ◽  
Time Scales ◽  
Time Scale ◽  
Real Interest Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Causal Relationships

This paper applies wavelet multi-resolution analysis (MRA), combined with two types of causality tests, to investigate causal relationships between three variables: real oil price, real interest rate, and unemployment in Norway. Impulse response functions were also utilised to examine effects of innovation in one variable on the other variables. We found that causal relations between the variables tend to be stronger as the wavelet time scale increases; specifically, there were no causal relationships between the variables at the lowest time scales of one to three months. A causal relationship between unemployment rate and interest rate was observed during the period of two quarters to two years, during which time a feedback mechanism was also detected between unemployment and interest rate. Causal relationships between oil price and both interest rate and unemployment were observed at the longest time scale of eight quarters. In conjunction with Granger causality analysis, impulse response functions showed that unemployment rates in Norway respond negatively to oil price shocks around two years after the shocks occur. As an oil exporting country, increases (or decreases) in oil prices reduce (or increase) unemployment in Norway under a time horizon of about two years; previous studies focused on oil importing economies have generally found the inverse to be true. Unlike most studies in this field, we decomposed the implicit aggregation for all time scales by applying MRA with a focus on the Norwegian economy. Thus, one main contribution of this paper is that we unveil and systematically distinguish the nature of the time-scale dependent relationship between real oil price, real interest rate, and unemployment using wavelet decomposition.

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.

scholarly journals The Response of Remittances Inflows to Asymmetric Oil Price Shocks in Egypt

2019 ◽  
Author(s):  
Mohamed Samir Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
The Impact

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: 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: 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.

The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach

2020 ◽  
Vol 47 (7) ◽  
pp. 1579-1589 ◽  
Author(s):  
Abdulnasser Hatemi-J ◽  
Youssef El-Khatib
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
World Market ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Policy Makers ◽  
Content Type ◽  
Dynamic Relationship ◽  
Reverse Relationship

PurposeThis paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose.Design/methodology/approachThe symmetric and asymmetric generalized impulse response functions are estimated for these important economic indicators.FindingsThe empirical findings show that if the dollar rate increases (i.e. the dollar depreciates), the oil price will increase. The reverse relationship is also supported empirically meaning that an increase in the oil price will results in a significant depreciation of the dollar rate. Based on the asymmetric impulses responses, it can also be claimed that the negative interaction is only significant for the positive changes and not for the negative ones. Thus, the underlying variables are negatively interrelated only for the positive shocks since a negative shock from any variable does not seem to have any significant impact on the other variable. These results have implications for cross hedging of price risk.Originality/valueTo the best knowledge, this is the first attempt to investigate the relationship between the dollar weighted exchange rate and the oil pieces via the asymmetric impulse response functions. Both of these variables and their interactions are very important for investors as well as policy makers worldwide.

scholarly journals The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach

2018 ◽  
Vol 9 (6) ◽  
pp. 237
Author(s):  
Tochukwu Timothy Okoli ◽  
Devi Datt Tewari ◽  
Ajibola Rhodaoluwafisayomi
Keyword(s):  
Interest Rate ◽  
Impulse Response ◽  
Dynamic Properties ◽  
Price Volatility ◽  
Variance Decomposition ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Domestic Investment ◽  
Macroeconomic Variables ◽  
Oil Price Volatility

Nigeria as an oil exporting mono-economy is susceptible to fluctuations in the world oil prices. About 97 percent of the government’s revenues are gotten from proceeds from oil export. The study attempts to assess the behaviors of macroeconomic variables in the face of oil price volatility in Nigeria. The empirical evidences reveal that macroeconomic variables were susceptibility to volatility in Oil Price. The theoretical framework is based on the Mundel-Flaming model and adopts the variance decomposition and impulse response functions to explain the dynamic properties of the VAR methodology. The impulse response results reveal that a one standard deviation in oil price will trigger a significant change in RGDP, GEXP, INFLATION and IMPORT both in the short and long run, and IR and EXR significantly only in the short run. Finally, the variance decomposition of RGDP, GEXP and EXR reveals that the variability in them were significantly explained by oil price volatility and other tests ran reveals a consistent result. Therefore, volatility in oil price has direct impact on real GDP, Government expenditure, inflation, interest rate, exchange rate and import. The researchers therefore recommend diversification of the economy to other sectors, financial prudence, sound fiscal policy and the lowering of interest rate to stimulate domestic investment.  

THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS

2011 ◽  
Vol 15 (S3) ◽  
pp. 437-471 ◽  
Author(s):  
Sajjadur Rahman ◽  
Apostolos Serletis
Keyword(s):  
Impulse Response ◽  
Forecast Error ◽  
Price Change ◽  
The United States ◽  
Output Growth ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Price Uncertainty ◽  
Response Functions ◽  
Asymmetric Effects

In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.

scholarly journals The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach

2018 ◽  
Vol 9 (6(J)) ◽  
pp. 237-251
Author(s):  
Tochukwu Timothy Okoli ◽  
Devi Datt Tewari ◽  
Ajibola Rhodaoluwafisayomi
Keyword(s):  
Interest Rate ◽  
Impulse Response ◽  
Dynamic Properties ◽  
Price Volatility ◽  
Variance Decomposition ◽  
Oil Price ◽  
Impulse Response Functions ◽  
Domestic Investment ◽  
Macroeconomic Variables ◽  
Oil Price Volatility

Nigeria as an oil exporting mono-economy is susceptible to fluctuations in the world oil prices. About 97 percent of the government’s revenues are gotten from proceeds from oil export. The study attempts to assess the behaviors of macroeconomic variables in the face of oil price volatility in Nigeria. The empirical evidences reveal that macroeconomic variables were susceptibility to volatility in Oil Price. The theoretical framework is based on the Mundel-Flaming model and adopts the variance decomposition and impulse response functions to explain the dynamic properties of the VAR methodology. The impulse response results reveal that a one standard deviation in oil price will trigger a significant change in RGDP, GEXP, INFLATION and IMPORT both in the short and long run, and IR and EXR significantly only in the short run. Finally, the variance decomposition of RGDP, GEXP and EXR reveals that the variability in them were significantly explained by oil price volatility and other tests ran reveals a consistent result. Therefore, volatility in oil price has direct impact on real GDP, Government expenditure, inflation, interest rate, exchange rate and import. The researchers therefore recommend diversification of the economy to other sectors, financial prudence, sound fiscal policy and the lowering of interest rate to stimulate domestic investment.  

Impulse-response functions and anthropogenic CO2

1995 ◽  
Vol 22 (4) ◽  
pp. 413-416 ◽  
Author(s):  
Francesco N. Tubiello ◽  
Michael Oppenheimer
Keyword(s):  
Impulse Response ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Anthropogenic Co2
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