Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model

2021 ◽  
Vol 72 ◽  
pp. 1-15
Author(s):  
Yong Jiang ◽  
Gang-Jin Wang ◽  
Chaoqun Ma ◽  
Xiaoguang Yang
Keyword(s):  
Stock Returns ◽  
Oil Price ◽  
Var Model ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact

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.

scholarly journals Do the stock returns of clean energy corporations respond to oil price shocks and policy uncertainty?

2020 ◽  
Vol 9 (1) ◽  
Author(s):  
Xiaohui Zhao
Keyword(s):  
Stock Returns ◽  
Clean Energy ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Energy Companies ◽  
The Impact

Abstract This paper investigates the effects of oil price shocks and policy uncertainty on the stock returns of clean energy companies. We use a structural vector autoregressive (VAR) model to separate demand and supply shocks in the global crude oil market from 2001 to 2018. We find that oil supply shocks and aggregated demand shocks have a positive effect on the returns of clean energy companies, while policy uncertainty shocks and oil-specific-demand shocks have a negative effect. The impacts of these shocks are shown to last relatively long. Moreover, the effects of oil shocks on the clean energy stock returns are amplified by adding policy uncertainty as an endogenously driven factor to the model. The impact of policy uncertainty is mainly transmitted through the uncertainty of inflation.

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.

The Impact of Oil Price Shocks on the Consumer Price Components in Turkey: Evidence from TVP-VAR Models

2017 ◽  
Author(s):  
Abdurrahman Nazif Catik ◽  
Mehmet Karacuka ◽  
A. Ozlem Onder
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Var Models ◽  
Price Shocks ◽  
The Impact

The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve

2020 ◽  
Author(s):  
Oguzhan Cepni ◽  
Selcuk Gul ◽  
Brian M. Lucey ◽  
Muhammed Hasan Yilmaz
Keyword(s):  
Yield Curve ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact

scholarly journals The Impact of Oil Price Shocks on National Income: Evidence from Azerbaijan

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1695
Author(s):  
Shahriyar Mukhtarov ◽  
Sugra Humbatova ◽  
Mubariz Mammadli ◽  
Natig Gadim‒Oglu Hajiyev
Keyword(s):  
Exchange Rate ◽  
Oil Price ◽  
Gdp Per Capita ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Total Trade ◽  
Trade Turnover ◽  
Per Capita ◽  
The Exchange Rate ◽  
The Impact

This study investigates the influence of oil price shocks on GDP per capita, exchange rate, and total trade turnover in Azerbaijan using the Structural Vector Autoregressive (SVAR) method to data collected from 1992 to 2019. The estimation results of the SVAR method conclude that oil price shocks (rise in oil prices) affect GDP per capita and total trade turnover positively, whereas its influence on the exchange rate is negative in the case of Azerbaijan. According to results of this study, Azerbaijan and similar oil-exporting countries should reduce the dependence of GDP per capita, the exchange rate, and total trade turnover from oil resources and its prices in the global market. Therefore, these countries should attempt to the diversification of GDP per capita, the exchange rate, and other sources of total trade turnover.

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