How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach

2021 ◽  
Vol 72 ◽  
pp. 102121
Author(s):  
Qisheng Jiang ◽  
Sheng Cheng
Keyword(s):  
Monetary Policy ◽  
Price Volatility ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Oil Price Volatility ◽  
Fiscal And Monetary Policy

scholarly journals Inflation, oil price volatility and monetary policy

2020 ◽  
Vol 66 ◽  
pp. 103259
Author(s):  
Paul Castillo ◽  
Carlos Montoro ◽  
Vicente Tuesta
Keyword(s):  
Monetary Policy ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility

The Impact of Oil Price Volatility on China’s Economy: An Empirical Investigation Based on VAR Model

2012 ◽  
Vol 524-527 ◽  
pp. 3211-3215 ◽  
Author(s):  
Shu Ping Wang ◽  
Ai Mei Hu ◽  
Zhen Xin Wu
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Monetary Policy ◽  
Price Level ◽  
Price Volatility ◽  
Oil Price ◽  
Economic Growth Rate ◽  
Oil Price Volatility ◽  
China’S Economy

China has been in rapid economic growth and industrial structure reform for recent years, and oil, as a most important raw material for industrial production, its price fluctuations have direct impact on energy-intensive industries as well as non-energy-intensive industries and their associated industries’ overall demands. Under the price transmission mechanism, oil price volatility imposes significant influences on economic growth rate, price level, unemployment rate and monetary policy as well. This paper established VAR model among oil prices and economic indicators such as economic growth rate, price level, unemployment rate and monetary policy, and by data processing , stability test and cointegration test, we found that there existed long term stable cointegration relations among these sequences; through Granger Causality test we found that oil price volatility was the Granger cause of the fluctuations of economic growth rate, price level and monetary policy, and meanwhile, changes in economic growth rate is the Granger cause of that in price level. The result of our empirical study indicated that, oil price volatility has a profound influence on China’s economy, and thus, China should improve the establishment of the oil futures market to avoid risks of oil price volatility and secure long-term stability of its economic growth.

scholarly journals On the influence of US monetary policy on crude oil price volatility

2016 ◽  
Vol 52 (1) ◽  
pp. 155-178 ◽  
Author(s):  
Alessandra Amendola ◽  
Vincenzo Candila ◽  
Antonio Scognamillo
Keyword(s):  
Monetary Policy ◽  
Crude Oil ◽  
Price Volatility ◽  
Oil Price ◽  
Crude Oil Price ◽  
Oil Price Volatility ◽  
Us Monetary Policy

scholarly journals Price Setting and Volatility: Evidence from Oil Price Volatility Shocks

2021 ◽  
Vol 2021 (1315) ◽  
pp. 1-70
Author(s):  
Matthew Klepacz ◽  
Keyword(s):  
Monetary Policy ◽  
Price Change ◽  
Empirical Relationship ◽  
Price Volatility ◽  
Oil Price ◽  
Idiosyncratic Volatility ◽  
Menu Costs ◽  
Producer Price ◽  
Oil Price Volatility ◽  
State Dependent

How do changes in aggregate volatility alter the impulse response of output to monetary policy? To analyze this question, I study whether individual prices in Producer Price Index micro data are more likely to change and to move in the same direction when aggregate volatility is high, which would increase aggregate price exibility and reduce the effectiveness of monetary policy. Taking advantage of plausibly exogenous oil price volatility shocks and heterogeneity in oil usage across industries, I find that price changes are more dispersed and less frequent, implying that prices are less likely to move in the same direction when aggregate volatility is high. This contrasts with findings in the literature about idiosyncratic volatility. I use a state-dependent pricing model to interpret my findings. Random menu costs are necessary for the model to match the positive empirical relationship between oil price volatility and price change dispersion. This is the case because random menu costs reduce the extent to which firms with prices far from their optimum all act in a coordinated fashion when volatility increases. The model implies that increases in aggregate volatility do not substantially reduce the ability of monetary policy to stimulate output.

Crude Oil Price and Food Security Related Variables in Malaysia

2016 ◽  
Vol 4 (2) ◽  
pp. 17-21
Author(s):  
Shri Dewi Applanaidu ◽  
Mukhriz Izraf Azman Aziz
Keyword(s):  
Food Security ◽  
Crude Oil ◽  
Price Index ◽  
Price Volatility ◽  
Food Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Crude Oil Prices

Objective - This study analyzes the dynamic relationship between crude oil price and food security related variables (crude palm oil price, exchange rate, food import, food price index, food production index, income per capita and government development expenditure) in Malaysia using a Vector Auto Regressive (VAR) model. Methodology/Technique - The data covered the period of 1980-2014. Impulse response functions (IRFs) was applied to examine what will be the results of crude oil price changes to the variables in the model. To explore the impact of variation in crude oil prices on the selected food security related variables forecast error variance decomposition (VDC) was employed. Findings - Findings from IRFs suggest there are positive effects of oil price changes on food import and food price index. The VDC analyses suggest that crude oil price changes have relatively largest impact on real crude palm oil price, food import and food price index. This study would suggest to revisiting the formulation of food price policy by including appropriate weight of crude oil price volatility. In terms of crude oil palm price determination, the volatility of crude oil prices should be taken into account. Overdependence on food imports also needs to be reduced. Novelty - As the largest response of crude oil price volatility on related food security variables food vouchers can be implemented. Food vouchers have advantages compared to direct cash transfers since it can be targeted and can be restricted to certain types of products and group of people. Hence, it can act as a better aid compared cash transfers. Type of Paper - Empirical Keywords: Crude oil price, Food security related variables, IRF, VAR, VDC

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