scholarly journals Oil Price Flux and Macroeconomy of Oil Exporters

2020 ◽  
Vol 6 (2) ◽  
pp. 651-667
Author(s):  
Madiha Riaz ◽  
Saeed-ur-Rahman ◽  
Shahzad Mushtaq ◽  
Aabeera Atta
Keyword(s):  
Interest Rate ◽  
Price Change ◽  
Oil Prices ◽  
Oil Price ◽  
Price Changes ◽  
Long Run ◽  
Domestic Credit ◽  
Short Run ◽  
Strong Relation ◽  
Highly Correlated

Oil is an important energy source, embodies the largest commodity market in the world. Global economic performance has been highly correlated with oil price changes. The study considered 10 major oil exporters to measure the effect of oil price changes on their economies considering variables: Oil Prices (OP), Inflation (CPI) , GDP deflator, Lending interest rate (IR), real interest rate (RIR), Official Exchange Rate (EX), and Net domestic credit (LDU).  By applying Johansen Co-integration techniques, long run relationship among variables has been analyzed covering the time period from 1970 to 2019. In order to find the short run relationship, Error Correction Model (ECM) technique is used. Study affirmed that there exist a strong relation among economic variables and oil price fluctuations; however the intensity of relationship displays a variation. Oil prices are associated with GDP deflator and RIR significantly as compared to other variables. Moreover, it can be suggested that each country should observe it own economic strategy in response to price change to reflect on economic policy instead of following some other country trends.

scholarly journals Stock Prices of Renewable Energy Firms: Are There Asymmetric Responses to Oil Price Changes?

Economies ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 59 ◽  
Author(s):  
Donggyu Lee ◽  
Jungho Baek
Keyword(s):  
Renewable Energy ◽  
Stock Prices ◽  
Oil Prices ◽  
Oil Price ◽  
Price Changes ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run

This article revisits the question of whether crude oil prices have a positive effect on stock the prices of renewable energy firms. To examine this question carefully, we allow for the asymmetric effects of oil price changes in our modeling process, using the nonlinear autoregressive distributed lag (ARDL) approach. We find that changes in oil prices indeed have a significant, positive short-run effect on renewable energy stock prices in an asymmetric manner. However, this short-run effect does not appear to last in the long-run.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

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.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals The Dynamics of Oil Prices in the Nigerian Construction and Economic Growth

2018 ◽  
pp. 1-19
Author(s):  
Peter Uchenna Okoye ◽  
Evelyn Ndifreke Igbo
Keyword(s):  
Economic Growth ◽  
Price Change ◽  
Oil Prices ◽  
Oil Price ◽  
National Bureau ◽  
Construction Sector ◽  
Price Fluctuation ◽  
Long Run ◽  
Long Run Equilibrium ◽  
Oil Price Fluctuation

Aims: The continuous reverberation of unstable global oil price change has caused this study to examine the effect of oil price fluctuation on the construction and economic growths in Nigeria. Study Design: Data for the analysis were extracted from different National Bureau of Statistics (NBS) publications on the construction sector and economy (GDP); and OPEC Annual Statistical Bulletin 2017 and BP Statistical Review of World Energy June 2017 on oil price from 1981 to 2016. Place and Duration of Study: The study was done in Nigeria between October 2017 and February 2018. Methodology: The study applied different econometric techniques including the Augmented Dickey-Fuller (ADF), the generalized least squares (GLS) regression (DF-GLS), and the Phillips-Perron (PP)  for unit root test; Johansen’s cointegration test and Error Correction Model (ECM) for long-run equilibrium relationship; Granger causality test for direction of causation or influence; as well as carrying different validation tests. Results: It was found that oil price fluctuation does not have any causal influence on the construction growth nor economic growth; rather it is only the economic growth that influences the construction growth without feedback. It further revealed the existence of unstable long-run equilibrium contemporaneous relationship between the variables. It showed that the deviation from the equilibrium level in the current year will be corrected by 8.8% in the following year and that it will take about 11 years and 4 months to restore the long-run equilibrium state on the economic growth should there be any shock from the construction growth and oil prices fluctuation in the system. Conclusion: The study concluded that though construction sector and general economy may be sensitive to the oil price change, their growth cannot be said to have been influenced or caused by the fluctuation in oil prices. On this strength, the subsisting oil price position in determining the economic trends in Nigeria is challenged. It then calls for new thoughts and strategies towards monitoring the oil prices and economic growth in Nigeria which may culminate in paying less attention to oil price changes and focusing more on other economic variables that trigger changes in the economy and development of Nigeria.

scholarly journals Determinants of Inflation in the Local Economy

ETIKONOMI ◽  
2018 ◽  
Vol 17 (1) ◽  
pp. 1-10
Author(s):  
Jaka Sriyana
Keyword(s):  
Exchange Rate ◽  
Minimum Wage ◽  
Inflation Rate ◽  
Local Level ◽  
Price Change ◽  
Local Economy ◽  
Price Changes ◽  
Vector Error Correction ◽  
Long Run ◽  
Short Run

This research analyzes the determinants of inflation rate in the local economy. It uses co-integration and vector error correction to capture the long and short run relationship between inflation rate and other economic variables. We find that the determinants of inflation rate in Yogyakarta are minimum wage, economic growth, and monetary variables indicated by BI-rate.  More finding, exchange rate also contributes to the price change. This research finds evidence of long-run causality between minimum wage and inflation and unidirectional relationship from wage to inflation in the short run. This finding confirms the proposition of non-neutrality wage on price changes. The inflation rate in the local economy depends not only on the regional indicator but also depends on international changes reflected in the exchange rate. Monetary variable indicated by BI- rate also partially contributes to the price changes at the local level. Overall, the local government has successfully managed the price changes.DOI: 10.15408/etk.v17i1.7146

Asymmetric effects of oil price changes on the Nigerian exchange rate

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Patrick Onodje ◽  
Temitope Ahmdalat Oke ◽  
Oluwatimilehin Aina ◽  
Nazeer Ahmed
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Oil Price ◽  
Series Data ◽  
Price Changes ◽  
Content Type ◽  
Asymmetric Effects ◽  
Wald Tests ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to examine the effect of crude oil prices on the Nigerian exchange rate with emphasis on discriminating between the effects of positive and negative changes in oil price on exchange rate. Design/methodology/approach The authors used monthly time series data from 1996:1 to 2019:6 and adopted two oil price measures, namely, Brent crude and West Texas Intermediary prices. For analysis, the authors used stepwise least squares to estimate a non-linear ARDL (NARDL) model and Wald tests to determine cointegration and the presence of asymmetric effects. Findings The findings showed that positive and negative Brent crude price changes significantly affect exchange rates differently in nominal terms, both in the long-run and short-run. However, the differences were purely in terms of effect size because the exchange rate decreased for both negative and positive oil price changes. Originality/value Whilst empirical research on asymmetries in the effect of oil price on exchange rate abounds, little evidence exists in Nigeria’s case. Although some studies previously tested for asymmetric oil price effects on the Nigerian currency, the approach used did not estimate long and short-run effects or test of long-run and short-run asymmetries. This paper fills this methodological gap using monthly using the NARDL approach. The NARDL approach provided the advantage of estimating effects for the long-run and short-run and testing for asymmetries in both time spans.

Oil Market Developments and Issues

Policy Papers ◽  
2005 ◽  
Vol 2005 (01) ◽  
Author(s):  
Keyword(s):  
Supply And Demand ◽  
Oil Price ◽  
Policy Response ◽  
Price Changes ◽  
Oil Market ◽  
Price Increases ◽  
Long Run ◽  
Short Run

The discussion in this paper of the causes and consequences of recent oil price increases, and the appropriate policy response, is framed by the volatility and uncertainty that characterize the oil market. Volatile prices arise from supply and demand that are both highly inelastic in the short run, with the result that even small shocks can have large effects on price. The difficulty of predicting long-run supply and demand creates uncertainty about future prices. Further, even current supply and demand data are lacking, which results in additional uncertainty. These features of uncertainty and volatility of prices make it difficult to reach simple conclusions about how oil producers and consumers should respond to price changes.

An empirical study on the dynamic relationship between oil prices and Indian stock market

2014 ◽  
Vol 40 (2) ◽  
pp. 200-215 ◽  
Author(s):  
Tarak Nath Sahu ◽  
Kalpataru Bandopadhyay ◽  
Debasish Mondal
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Oil Prices ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Indian Stock Market

Purpose – This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market. Design/methodology/approach – The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them. Findings – The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run. Originality/value – The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

scholarly journals Asymmetric Impacts of Oil Price on Inflation: An Empirical Study of African OPEC Member Countries

2018 ◽  
Author(s):  
Umar Bala ◽  
Lee Chin
Keyword(s):  
Food Production ◽  
Inflation Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Price Changes ◽  
Long Run ◽  
Dynamic Panels ◽  
The Government ◽  
Opec Member ◽  
The Impact

This study investigates the asymmetric impacts of oil price changes on inflation in Algeria, Angola, Libya and Nigeria. Three different oil price data were applied in this study; the specific spot oil price of individual countries, the OPEC reference basket oil price and an average of the Brent, WTI and Dubai oil price. The dynamic panels ARDL were used to estimate the short and the long-run impacts. Also, this study partitioned the oil price into positive and negative changes to capture asymmetric impacts and found both positive and negative oil price changes positively influenced inflation. However, the impact was found to be more significant when oil prices dropped. The results from the study also found that money supply, the exchange rate and GDP are positively related to inflation while food production is negatively related to inflation. Accordingly, policymakers should be cautious in formulating policies between the positive and negative changes in oil prices as it was shown that inflation increased when the oil price dropped. Additionally, the use of contractionary monetary policy would help to reduce the inflation rate, and lastly, it is proposed that the government should encourage domestic food production both in quantity and quality to reduce inflation.

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