scholarly journals Volatility spillovers during market supply shocks: The case of negative oil prices

2021 ◽  
Vol 74 ◽  
pp. 102357
Author(s):  
Shaen Corbet ◽  
Yang (Greg) Hou ◽  
Yang Hu ◽  
Les Oxley
Keyword(s):  
Oil Prices ◽  
Volatility Spillovers ◽  
Supply Shocks

Time-varying volatility spillovers between oil prices and precious metal prices

2020 ◽  
Vol 68 ◽  
pp. 101783
Author(s):  
Durmuş Çağrı Yıldırım ◽  
Emrah Ismail Cevik ◽  
Ömer Esen
Keyword(s):  
Precious Metal ◽  
Oil Prices ◽  
Time Varying ◽  
Volatility Spillovers

scholarly journals Oil and the world economy: some possible futures

2014 ◽  
Vol 372 (2006) ◽  
pp. 20120327 ◽  
Author(s):  
Michael Kumhof ◽  
Dirk Muir
Keyword(s):  
World Economy ◽  
Oil Prices ◽  
Dynamic Stochastic General Equilibrium ◽  
Output Growth ◽  
Production Functions ◽  
Supply Shocks ◽  
Conventional Production ◽  
The World ◽  
Production Technologies ◽  
Dynamic Stochastic

This paper, using a six-region dynamic stochastic general equilibrium model of the world economy, assesses the output and current account implications of permanent oil supply shocks hitting the world economy. For modest-sized shocks and conventional production technologies, the effects are modest. But for larger shocks, for elasticities of substitution that decline as oil usage is reduced to a minimum, and for production functions in which oil acts as a critical enabler of technologies, output growth could drop significantly. Also, oil prices could become so high that smooth adjustment, as assumed in the model, may become very difficult.

scholarly journals US stocks in the presence of oil price risk: Large cap vs. Small cap

2018 ◽  
Vol 6 (4) ◽  
pp. 116 ◽  
Author(s):  
Afees Adebare Salisu ◽  
Raymond Swaray ◽  
Tirimisiyu Oloko
Keyword(s):  
Oil Prices ◽  
Oil Price ◽  
Price Risk ◽  
Volatility Spillovers ◽  
Oil Price Risk

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility spillovers, particularly under falling and relatively stable oil prices.

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