scholarly journals Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data

2021 ◽  
pp. 102378
Author(s):  
Afees A. Salisu ◽  
Christian Pierdzioch ◽  
Rangan Gupta
Keyword(s):  
Oil Price ◽  
Realized Variance

scholarly journals Do oil-price shocks predict the realized variance of U.S. REITs?

2021 ◽  
pp. 105689
Author(s):  
Matteo Bonato ◽  
Oğuzhan Çepni ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Realized Variance ◽  
Price Shocks

scholarly journals A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Energies ◽  
2021 ◽  
Vol 14 (20) ◽  
pp. 6775
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch ◽  
Wing-Keung Wong
Keyword(s):  
Real Time ◽  
Predictive Value ◽  
Oil Price ◽  
Realized Variance ◽  
Monthly Data ◽  
Significant Evidence ◽  
Out Of Sample ◽  
Price Movements

We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (RV) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in RV for both ratios. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for RV. Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

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.

Impact of crude oil price on the socio-political environment of global countries

2019 ◽  
Vol 118 (3) ◽  
pp. 110-122
Author(s):  
Johnson Clement Madathil ◽  
Velmurugan P. S
Keyword(s):  
Crude Oil ◽  
Descriptive Analysis ◽  
Oil Price ◽  
Policy Framework ◽  
Political Environment ◽  
Policy Reforms ◽  
Crude Oil Price ◽  
Short Term ◽  
Political Impact ◽  
New Energy

Crude oil is known to have an impact on people’s life of both producers and consumers of crude oil countries. A producer country’s socio-political impact will be different from a consumer country’s socio-political impact. This paper aims to show that crude oil price has a socio-political impact on global countries through descriptive analysis. The study found that there were similarities in the movement of crude oil price and change in GDP of both India and United States and further Russia and Venezuela have had crude oil impact on their respective GDP’s, which has made them take policy reforms. The paper identifies changes in the policy framework due to influence of crude oil price and eventual changes in existing socio-political environment. Taking oil producing countries such as Russia and Venezuela as examples, this paper suggests that policy reforms are the key to having a stable socio-political environment. Russia shows us that having a flexible monetary policy can keep the budget dependence on crude oil reduced in the short term. On the other hand, for oil consuming countries, having a stable supply and moving to new energy sources is the key to tackle the influence of crude oil price on the socio-political environment of global countries.

Estimating the Quantitative Importance of Various Sources of Macroeconomic Variability

1994 ◽  
Vol 33 (4II) ◽  
pp. 1073-1087
Author(s):  
Rizwan Thair
Keyword(s):  
Research Agenda ◽  
Oil Price ◽  
Macroeconomic Fluctuations ◽  
Early 20Th Century ◽  
Technology Shocks ◽  
Money Stock ◽  
Price Shocks ◽  
The Business Cycle ◽  
Structural Shifts ◽  
Quantitative Importance

Providing a reasonable explanation for the business cycle has been the research agenda for many economists since the early 20th century, from Mitchell (1913), Pigou (1927) and Adelman and Adelman (1959) to Lucas (1972), Black (1982) and King and Plosser (1984). For a review, see Zarnowitz (1985). Most attempts to explain the sources of macroeconomic fluctuations' attribute the variability in output and prices to only a few sources, sometimes to\mJ.y one. Kydland and Prescott (1982) and others proposed technology shocks as the main source of aggregate variability; Barro (1977) pointed to unanticipated changes in money stock; Lilien (1982) argued for 'unusual structural shifts' such as changes in the demand for goods relative to services, and Hamilton (1983) concluded in favour of oil price shocks.

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