WORLD CRUDE OIL PRICES IMPACT ON CONSUMER PRICE INDEX

2018 ◽  
Vol 52 (1) ◽  
pp. 33-54 ◽  
Author(s):  
Doan Van Dinh
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Oil Prices ◽  
Crude Oil Prices

scholarly journals ESTIMATION OF LONG-RUN RELATIONSHIP OF INFLATION (CPI & WPI), AND OIL PRICES WITH KSE-100 INDEX: EVIDENCE FROM JOHANSEN MULTIVARIATE COINTEGRATION APPROACH

2017 ◽  
Vol 23 (4) ◽  
pp. 567-588 ◽  
Author(s):  
Rizwan RAHEEM AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia ŠTREIMIKIENĖ ◽  
Saghir Pervaiz GHAURI ◽  
Nawaz AHMAD
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Long Run ◽  
Wholesale Price Index ◽  
Relationship Of

This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as, wholesale price index (WPI) and consumer price index (CPI), and crude oil price (COP) with KSE100 index returns. In this research we used monthly data for the time period from July 1995 to June 2016, and thus, in this way total 252 observations have been considered. Time series have been made stationary by applying ADF and PP tests at first difference. Johansen multivariate conintegration approach was used to test the long-term association amongst the considered macroeconomic variables. The results indicated that CPI and COP significantly affect KSE100 index returns that indicated CPI along with COP have foreseen power to impact KSE100 index. In contrary, the results of WPI and COP do not have long run relationship with KSE100 index in case of Pakistani economy. Results of variance decomposition exhibited that the index of LKSE100 was realistically rarer exogenous in connection to distinctive factors, as around 92.31% of its variation was explained due to its own specific shocks. It is concluded that CPI and COP can impact the KSE100 index returns. It is confirmed by the results of impulse response function that there is a positive and long run relationship between KSE100 returns and consumer price index (proxy of inflation) and international crude oil prices.

scholarly journals Multivariate Garch Analysis of Selected Nigerian Economic Data

2021 ◽  
pp. 23-40
Author(s):  
Shakarho Udi Pepple ◽  
Etuk Ette Harrison ◽  
Isaac D. Essi
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Oil Prices ◽  
Multivariate Garch ◽  
Series Data ◽  
Time Varying ◽  
Economic Data ◽  
Crude Oil Prices ◽  
Lending Rate

Aims: The aim of this   study is to examine   multivariate GARCH modeling of selected Nigerian economic data. Study Design: The study used monthly data of Nigerian crude oil prices (dollar Per Barrel), consumer price Index rural, maximum lending rate and prime lending rate. Methodology: This work covers time series data on crude oil prices, consumer price Index rural, maximum lending rate and prime lending rate extracted from   Central Bank of Nigeria (CBN) from 2000 to 2019. In attempt to achieve the aim of the study, quadrivariate VECH and DCC model were applied.  Results: The results confirmed that returns on economic data were correlated. Also, diagonal multivariate VECH model confirmed one of the properties that it must be ‘positive semi-definite’, And the DCC confirmed also the positive-definite conditional-variance. Conclusion: From the results obtained, it was confirmed that there exists a strong confirmation of a time-varying conditional covariance and interdependence among Nigeria economic data. As for cross-volatility effects, past innovations in crude oil price have utmost control on future volatility of returns on economic data. It was also confirmed that time varying covariance displays among these economic data and lower degree of persistence and based on Model selection criteria using the Akaike information criteria (AIC) has 17.485 for diagonal VECH  while for DCC has 17.509 AIC  which makes  VECH model  better fitted.

scholarly journals Pengaruh inflasi, nilai tukar rupiah per dollar Amerika, harga minyak mentah dunia dan indeks harga saham gabungan terhadap harga emas di Indonesia

2020 ◽  
Vol 8 (2) ◽  
pp. 55-64
Author(s):  
Fadhel Kesarditama ◽  
Haryadi Haryadi ◽  
Yohanes Vyn Amzar
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Oil Prices ◽  
Gold Price ◽  
Positive Trend ◽  
Macroeconomic Variables ◽  
Crude Oil Prices ◽  
Stock Price Index

This study aims to analyze the trend of macroeconomic variables and gold prices in Indonesia and to determine the effect of macroeconomic variables on gold prices in Indonesia. This study uses a quantitative approach. The data used is secondary data from January 2014-December 2019. The analytical tools and techniques used are trend analysis with a linear trend approach and multiple linear regression models using the Ordinary Least Square method. The five research variables that were processed showed that there were differences in the direction of the data trend. Where the variables of Gold Price, Exchange Rate, and Composite Stock Price Index show a positive trend, while the variables of Inflation and World Crude Oil Prices show a negative trend. Furthermore, the variables of Exchange Rate, world Crude Oil Price, and Composite Stock Price Index show a positive and significant influence on the Gold Price in Indonesia. While the inflation variable shows a negative and significant effect on the Gold Price in Indonesia. Keywords: Inflation, foreign exchange,crude oil prices, idx composite and gold prices

scholarly journals Application of ARIMA-GARCH Model for Prediction of Indonesian Crude Oil Prices

2020 ◽  
Vol 1 (1) ◽  
pp. 25-33
Author(s):  
Sukono Sukono ◽  
Emah Suryamah ◽  
Fujika Novinta S
Keyword(s):  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Moving Average ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Price ◽  
Price Forecast ◽  
Crude Oil Prices ◽  
Auto Regressive

Crude oil is one of the most important energy commodities for various sectors. Changes in crude oil prices will have an impact on oil-related sectors, and even on the stock price index. Therefore, the prediction of crude oil prices needs to be done to avoid the future prices of these non-renewable natural resources to increase dramatically. In this paper, the prediction of crude oil prices is carried out using the Auto-Regressive Integrated Moving Average (ARIMA) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models. The data used for forecasting are Indonesian Crude Price (ICP) crude oil data for the period January 2005 to November 2012. The results show that the data analyzed follows the ARIMA(1,2,1)-GARCH(0,3) model, and the crude oil price forecast for December 2012 is 105.5528 USD per barrel. The prediction results of crude oil prices are expected to be important information for all sectors related to crude oil.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

A Short Note on Manipulation, Speculation and Crude Oil Prices

2012 ◽  
Author(s):  
Rosa M. Abrantes-Metz
Keyword(s):  
Crude Oil ◽  
Short Note ◽  
Oil Prices ◽  
Crude Oil Prices
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