An empirical analysis of volatility in South African  oil prices

Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were conducted. The GARCH (1,2) model was the best fit, based on the Alkaike information criterion. The result revealed that interest rates and money supply growth have a significant positive effect on oil price changes in South Africa, while growth in GDP per capita and inflation has an insignificant impact. Past one and two-quarters’ oil price volatility increases and decreases the current oil price volatility respectively. Based on the findings, a contractionary monetary policy is recommended in order to reduce the volatility of South African oil prices.

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How does gold and oil price volatility affect Turkish financial markets?

International Journal of Research in Business and Social Science (2147-4478) ◽

10.20525/ijrbs.v9i4.733 ◽

2020 ◽

Vol 9 (4) ◽

pp. 262-270

Author(s):

Hakan Öner ◽

Hande Kılıç Satıcı

Keyword(s):

Exchange Rate ◽

Financial Markets ◽

Interest Rates ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Oil Price Volatility ◽

Causality Relationship ◽

Us Dollar ◽

Turkish Lira

Gold and oil price volatilities are thought to have an impact on financial markets. The main aim of this study is to examine the effects of changes in gold and oil prices on Turkish financial markets. For this purpose, the effects of gold and oil price volatilities on nominal US dollar/Turkish lira exchange rate, Borsa Istanbul 100 Index and Turkey 10-year bond interest rates are used to represent Turkish financial markets are analysed by Granger Casuality Test. The study comprises daily data over the period of June 1, 2010 - April 30, 2017. According to the results of the analysis, there is no causality relationship from gold and oil prices to Turkish financial markets. On the other hand, it is concluded that there is a one-way causality relationship from BIST100 index to Turkey 10-year bond interest rate and two-way causality relationship between BIST 100 index and nominal US dollar/Turkish lira exchange rate.

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Social and economic drivers of national economic development: the case of OPEC countries

Problems and Perspectives in Management ◽

10.21511/ppm.16(4).2018.14 ◽

2018 ◽

Vol 16 (4) ◽

pp. 155-168 ◽

Cited By ~ 5

Author(s):

Mlaabdal Saady Mahmood Abaas ◽

Olena Chygryn ◽

Oleksandr Kubatko ◽

Tetyana Pimonenko

Keyword(s):

Economic Growth ◽

Energy Efficiency ◽

Economic Development ◽

Life Expectancy ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Gdp Per Capita ◽

Oil Price Volatility ◽

Per Capita

This paper examines the economic relationships between oil price volatility and socially-economic development of 14 Organization of the Petroleum Exporting Countries (OPEC) using the annual panel data for the period 1990–2014 obtained from the World Bank (WB) statistical data sets. Hausman specification test has been performed to choose the method of panel data analysis, and the results were in favor of fixed effects estimation. The main findings indicate the direct relationship between economic growth and oil price volatility. The research supports the hypothesis that an increase in crude oil prices is positively related to GDP, and a 10% increase in oil prices correlates with 0.6-4% GDP improvements. Structural changes in employment in favor of service sector are negatively correlated with GDP per capita. Changes in GDP structure in favor of oil rents on 10% lead to the shrinking of GDP on 1%. Life expectancy at birth, as an indirect indicator of health, positively influences the economic growth indicators and an improvement in life expectancy on one percentage leads on average to 1% growth in GDP and 0.5-1.33% growth in GDP per capita. Energy efficiency improvements are positive drivers of GDP values at OPEC, and our findings suggest that a 10% increase at GDP per unit of energy use leads to 3% increase of GDP itself. The study recommends investing in energy efficiency, human capital, and capital formation to guarantee long-run economic development and prosperity of OPEC counties.

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Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns

Energies ◽

10.3390/en13246740 ◽

2020 ◽

Vol 13 (24) ◽

pp. 6740

Author(s):

Ishaya Tambari ◽

Pierre Failler

Keyword(s):

Renewable Energy ◽

Interest Rates ◽

Energy Security ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Energy Investment ◽

Oil Price Volatility ◽

Security Concerns ◽

Renewable Energy Investment

As concerns regarding the adverse impacts of energy production and consumption on the environment grow, countries across the world are now charged with developing effective strategies that provide energy security and protect the environment. This means that efforts to generate significant investments and business opportunities to boost the growth of renewable energy need to increase rapidly. However, there are limited studies on what will facilitate the increase of renewable energy investment in Africa. The main factor considered in this study relates to the sensitivity to changes in oil prices, gross domestic product (GDP), interest rate and oil price volatility’s impact on the renewable energy investment (REI) in countries with energy security concerns and if there is any significant influence from oil price shocks. With the help of an unrestricted vector retrogressive model and an annual panel data approach that covers the period 1990–2018, this paper examines the link between renewable energy investment and three macroeconomic variables: oil prices, GDP growth-adjusted interest rates and oil price volatility. The results indicate that REI exhibited immediate positive responses to oil shocks. However, renewable energy investment continued to fluctuate negatively in response to GDP. The results also show that the REI responded positively to interest rates in Africa and it exhibited immediate negative responses to oil price volatility but became positive after the second period.

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Crude Oil Price and Food Security Related Variables in Malaysia

GATR Global Journal of Business Social Sciences Review - GATR Global Journal of Business and Social Science Review (GJBSSR) Vol.7(1) Jan-Mar 2019 ◽

10.35609/gjbssr.2016.4.2(3) ◽

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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VOLATILITY IN OIL PRICES AND MANUFACTURING ACTIVITY: AN INVESTIGATION OF REAL OPTIONS

Macroeconomic Dynamics ◽

10.1017/s1365100511000630 ◽

2011 ◽

Vol 15 (S3) ◽

pp. 379-395 ◽

Cited By ~ 36

Author(s):

John Elder ◽

Apostolos Serletis

Keyword(s):

Real Options ◽

Commodity Prices ◽

Price Volatility ◽

Oil Prices ◽

Capital Budgeting ◽

Oil Price ◽

Real Options Theory ◽

Oil Price Volatility ◽

Manufacturing Activity ◽

General Specification

Previous research shows that volatility in oil prices has tended to depress output, as measured by nonresidential investment and GDP. This is interpreted as evidence in support of the theory of real options in capital budgeting decisions, which predicts that uncertainty about, for example, commodity prices will cause firms to delay production and investment. We continue that investigation by analyzing the effect of oil price uncertainty on monthly measures of U.S. firm production related to industries in mining, manufacturing, and utilities. We use a more general specification, an updated sample that includes the increased oil price volatility since 2008, and we control for other nonlinear measures of oil prices. We find additional empirical evidence in support of the predictions of real options theory, and our results indicate that the extreme volatility in oil prices observed in 2008 and 2009 contributed to the severity of the decline in manufacturing activity.

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Macroeconomic variables and banking sector development: Evidence from Nigeria

Technium Social Sciences Journal ◽

10.47577/tssj.v8i1.772 ◽

2020 ◽

Vol 8 ◽

pp. 288-301

Author(s):

Ojo Johnson Adelakun ◽

Babatunde Afolabi ◽

Uwasejike B Abuh

Keyword(s):

Interest Rates ◽

Money Supply ◽

Banking Sector ◽

Time Series Data ◽

Oil Price ◽

Series Data ◽

Macroeconomic Variables ◽

Long Run ◽

Banking Sector Development ◽

Bound Test

The study assessed the relationship between Macroeconomic Variables and Development in the Nigerian Banking Sector using annual time series data. Models were specified using Ratio of Credits to Private Sector to Gross Domestic Product (GDP) as a proxy for Banking Sector Development. At the same time, GDP growth rate, Poverty, Exchange Rate, Oil Price, Poverty, Money Supply, Inflation, and Interest rates were the selected Macroeconomic Variables used in the study. Data used were sourced from the Statistical Bulletin of Central Bank of Nigeria (CBN) for various editions and estimated using ARDL Bound Test and Vector Error Correction Mechanism (VECM). The study found that there exists a long-run relationship between Macroeconomic Variables selected and Banking Sector Development. The VECM coefficients revealed that all variables except Interest Rates have negative effects on Banking Sector Development. The VECM (-1), which showed the speed of adjustment, was rightly signed and significant, indicating a long-run causality relationship running from macroeconomic variables to banking sector development. The Impulse response from restricted VAR revealed that Banking Sector responded to the Macroeconomic Variables of which GDPGR and INT were transmitting negatively to Banking Sector Development while others were transmitting positive impulses. However, the variance decomposition found that oil price, followed by GDPGR and poverty, caused more variation in Banking Sector Development. In contrast, inflation and money supply caused the least variation in Banking Sector Development. The study, therefore, concluded that selected Macroeconomic Variables have a significant long-run relationship with Banking Sector Development. It is therefore recommended, among others that, Macroeconomic indicators should be well monitored and controlled using macroeconomic instruments promptly since when they are well managed would lead to a better developed Banking Sector in Nigeria.

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OIL PRICE FLUCTUATIONS AND STOCK MARKET BEHAVIOR IN A RESOURCE-DOMINANT ECONOMY: CASE OF KAZAKHSTAN

The Singapore Economic Review ◽

10.1142/s0217590820430055 ◽

2020 ◽

pp. 1-25

Author(s):

MOLDIR MUKAN ◽

YESSENGALI OSKENBAYEV ◽

NIKI NADERI ◽

YERGALI DOSMAGAMBET

Keyword(s):

Stock Market ◽

Aggregate Demand ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Stock Index ◽

Stock Market Index ◽

Oil Price Volatility ◽

Positive Shock ◽

The Impact

During the past 10 years, the oil market has been very unpredictable and volatile, which created uneasy conditions for market participants. The remedy of increasing oil prices is considered as a positive factor for the economy of the Republic of Kazakhstan as an oil-exporting country. Using structural decomposition of vector autoregression (VAR), this study aims to examine how the whole financial system in Kazakhstan is depending on oil prices. The results suggest that the strongest factor affecting the stock index is aggregate demand, and the impact of oil production shocks on the equity market is, on average, insignificant. Such shocks can be discounted while a fall in oil prices affects financial conditions as a whole, damaging the solvency of Kazakhstan, an oil-exporting country. With the positive shock of aggregate demand, the stock market index tends to rise. There is also an effect of oil price volatility on changes in currency value, which also influences the financial situation of the country. Moreover, oil-exporting countries such as Kazakhstan can secure and support their economies with the help of “stable aggregate demand”. The focus on Kazakhstan as one of the oil-producing countries is interesting for at least two reasons. Importantly, oil-exporting countries supply oil to really strong countries concentrating on manufacturing and other industries. Besides, this study provides useful insights for countries with similar economic conditions, including similar stock market development.

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Formulating and Estimating of Dynamic Nonlinear Model of Korea’s Bilateral Trade Balance

International Journal of Financial Research ◽

10.5430/ijfr.v10n5p161 ◽

2019 ◽

Vol 10 (5) ◽

pp. 161

Author(s):

Heonyong Jung

Keyword(s):

Trade Balance ◽

Bilateral Trade ◽

Time Series Data ◽

Negative Impact ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Series Data ◽

Positive Effects ◽

Integration Test

This paper formulates and estimates the dynamic nonlinear trade model for Korea. We use monthly time series data for the period from 2000 to 2017. We employ EGARCH (1,1)-GED model which allows the positive and negative shocks to have asymmetric influences on volatility. The Johansen co-integration test is applied and finds the long run relationship among oil price, exchange rate and trade balance does exist. With respect to Indonesia as one of oil exporting countries, we find that an increase in oil prices leads to a declined trade balance as imports rise more than exports. Appreciation in IDR also leads to a declined trade balance as exports fall more than imports. For Korea as one of oil importing countries, an increase in oil prices leads to an improved trade balance as exports rise more than imports. Appreciation in KRW leads to a declined trade balance as exports fall more than imports. Oil price volatility reduces trade balance both in Indonesia and Korea. Oil price has negative effects on Indonesia’s trade balance and positive effects on Korea’s trade balance. Indonesian and Korean currency appreciation against US dollar have a negative impact on trade balance in Indonesia and Korea respectively. This information will contribute to Indonesian and Korean policy makers in making policies for their trade.

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Black Gold Has Fallen - No More Gambling on the Prices

Summer - GATR Journal of Finance and Banking Review ◽

10.35609/jfbr.2017.2.1(4) ◽

2017 ◽

Vol 2 (1) ◽

pp. 25-31

Author(s):

Yanuar Andrianto ◽

Teuku Fahri Rais Oebit

Keyword(s):

World Economy ◽

Moving Average ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Percentage Error ◽

Autoregressive Integrated Moving Average ◽

Price Data ◽

Oil Price Volatility ◽

West Texas

Objective - The crude oil, also known as black gold, is an essential commodity for the sustainability of various industries in the world. Oil prices play an important role in world economy because it causes repercussions. For example, world oil prices plummeted at the end of 2013 and its impact created fluctuations in prices which had affected world economy badly. The aim of this research is to locate a good model that can help to predict oil price fluctuations so that industries can avoid potential negative impacts. Methodology/Technique - Data of world oil prices from 1987 to 2016 were extracted from West Texas Intermediate (WTI) and Brent Oil sources. A comparative analysis using Empirical Decomposition and Autoregressive Integrated Moving Average (ARIMA) was applied toidentify differences and data were then analysed through SPSS 23. For this research, a set of models based on the smallest MAPE (Mean Absolute Percentage Error) was proposed. Findings - Results indicate that the Empirical Decomposition was a more appropriate method for predicting oil prices due to the non-linearity of oil price data. In addition, the MAPE also produced a lower error rate than the ARIMA. Novelty - In this research, world oil price volatility fromWest Texas Intermediate (WTI) and Brent Oil Price data were examined to predict oil price movement for future anticipations. Type of Paper: Empirical Keywords: Forecasting, Oil Prices, Autoregressive Integrated Moving Average, ARIMA, Empirical Decomposition, West Texas Intermediate, Brent Oil Price.

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EFECTOS DE LA INCERTIDUMBRE DE LOS PRECIOS DEL PETRÓLEO EN EL CRECIMIENTO ECONÓMICO DE MÉXICO

Investigación Económica ◽

10.22201/fe.01851667p.2019.309.70120 ◽

2019 ◽

Vol 78 (309) ◽

pp. 80 ◽

Cited By ~ 1

Author(s):

Domingo Rodríguez Benavides ◽

Francisco López Herrera

Keyword(s):

Economic Growth ◽

Economic Activity ◽

Price Volatility ◽

Oil Prices ◽

Negative Influence ◽

Output Growth ◽

Oil Price ◽

Market Uncertainty ◽

Oil Price Volatility ◽

The Impact

En este trabajo investigamos si la incertidumbre del precio internacional del petróleo incidió en la actividad económica de México durante 1983:2-2017:4. Empleamos un modelo de vectores autorregresivos (VAR) estructural bivariado con un proceso generalizado autorregresivo de heterocedasticidad condicional (GARCH) en media que captura el impacto de la volatilidad del petróleo en el crecimiento económico y la formación bruta de capital fijo. Nuestros resultados muestran que la incertidumbre del mercado petrolero tiene una influencia negativa en la actividad económica. Además, revelan la presencia de efectos asimétricos: la tasa de crecimiento de la producción aumenta (disminuye) después de un choque negativo (positivo) en el precio del petróleo. Estos resultados destacan la importancia de políticas públicas que mitiguen el efecto de la incertidumbre del mercado petrolero y contribuyan a la estabilidad económica. EFFECTS OF OIL PRICES UNCERTAINTY ON MEXICO’S ECONOMIC GROWTHABSTRACTWe inquire whether the uncertainty of international oil prices affected Mexico’s economic activity during 1983:2-2017:4. To measure such impact we use a bivariate structural vector autoregressive (VAR) model with a generalized autoregressive conditional heteroskedasticity (GARCH) in-mean process that captures the impact of oil price volatility on economic growth and gross fixed capital formation. Our results show that the said uncertainty has a negative influence on Mexico’s economic activity. Further, they reveal the presence of asymmetric effects, as the output growth rate increases (decreases) after a negative (positive) oil price shock. These results highlight the importance of adopting public policies aimed at mitigating the effects of oil market uncertainty and help stabilize economic activity.

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