scholarly journals Los precios del petróleo y la actividad económica en México

2021 ◽  
Vol 40 (2) ◽  
pp. 159-188
Author(s):  
Antonio Ruiz-Porras ◽  
Javier Emmanuel Anguiano-Pita
Keyword(s):  
Economic Activity ◽  
Oil Prices ◽  
Long Run ◽  
Frequency Domains ◽  
Short Run ◽  
Over Time ◽  
Time And Frequency Domains

Estudiamos la interdependencia entre los precios del petróleo y la actividad económica, en México, usando un análisis de spillovers estáticos y dinámicos en los dominios del tiempo y de la frecuencia. Los principales hallazgos muestran, que: 1) Las relaciones entre los precios del petróleo y la actividad económica han fluctuado en el tiempo; 2) las variaciones de los precios del petróleo tienen efectos de corto plazo y sus volatilidades, efectos de largo plazo sobre la actividad económica; 3) los precios del petróleo MAYA tienen las mayores interdependencias con la actividad económica; 4) los spillovers netos más altos entre los precios del petróleo y la actividad económica ocurrieron entre abril de 2009 y junio de 2012. El estudio usa series de variaciones y volatilidades mensuales de los precios spot del petróleo MAYA, WTI y Brent y del indicador IGAE, del período de febrero de 1993 a diciembre de 2019. Abstract We study the interdependence between oil prices and economic activity in Mexico using an analysis of static and dynamic spillovers in the time and frequency domains. The main findings show that: 1) The relationships between oil prices and economic activity have fluctuated over time; 2) variations in oil prices have short-run effects and their volatilities have long-run effects on economic activity; 3) MAYA oil prices have the main interdependences with economic activity; 4) the highest net spillovers between oil prices and economic activity occurred between April 2009 and June 2012. The study uses a series of variations and monthly volatilities of the spot oil prices MAYA, WTI, and Brent, and the IGAE indicator from February 1993 to December 2019.

scholarly journals The Effect of Oil Price Shocks on Economic Activity in Saudi Arabia: Econometric Approach

2016 ◽  
Vol 11 (8) ◽  
pp. 124 ◽  
Author(s):  
Goblan J Algahtani
Keyword(s):  
Economic Activity ◽  
Oil Prices ◽  
Oil Price ◽  
Annual Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Vector Autoregressive ◽  
Long Run ◽  
Short Run ◽  
Econometric Approach

<p>This paper is attempt to investigate the effect of oil price shocks on the Saudi's economic activity using annual data (1970-2015) to cover all of oil price shocks; particularly the recent decline in oil prices amid 2014. The vector autoregressive (VAR) and vector error correction model (VECM) were utilized to investigate the long-run and the short-run relationships between variables. The findings suggest a positive and significant relationship between oil prices and the Saudi's GDP in the long run. </p><p> </p>

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.

Long-Run Effects in Dynamic Systems: New Tools for Cross-Lagged Panel Models

2021 ◽  
pp. 109442812199322
Author(s):  
Ali Shamsollahi ◽  
Michael J. Zyphur ◽  
Ozlem Ozkok
Keyword(s):  
Recent Work ◽  
Dynamic Systems ◽  
Quantitative Methods ◽  
Simulated Dataset ◽  
Impulse Responses ◽  
Panel Models ◽  
Long Run ◽  
Short Run ◽  
User Friendly ◽  
Over Time

Cross-lagged panel models (CLPMs) are common, but their applications often focus on “short-run” effects among temporally proximal observations. This addresses questions about how dynamic systems may immediately respond to interventions, but fails to show how systems evolve over longer timeframes. We explore three types of “long-run” effects in dynamic systems that extend recent work on “impulse responses,” which reflect potential long-run effects of one-time interventions. Going beyond these, we first treat evaluations of system (in)stability by testing for “permanent effects,” which are important because in unstable systems even a one-time intervention may have enduring effects. Second, we explore classic econometric long-run effects that show how dynamic systems may respond to interventions that are sustained over time. Third, we treat “accumulated responses” to model how systems may respond to repeated interventions over time. We illustrate tests of each long-run effect in a simulated dataset and we provide all materials online including user-friendly R code that automates estimating, testing, reporting, and plotting all effects (see https://doi.org/10.26188/13506861 ). We conclude by emphasizing the value of aligning specific longitudinal hypotheses with quantitative methods.

scholarly journals Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time Scales

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 133
Author(s):  
Derick Quintino ◽  
José Telo da Gama ◽  
Paulo Ferreira
Keyword(s):  
Time Scales ◽  
Cross Correlation ◽  
Positive Association ◽  
Recent Period ◽  
Linear Approach ◽  
Long Run ◽  
Short Run ◽  
Cross Correlations ◽  
Over Time ◽  
Different Time Scales

Brazil is one of the world’s largest producers and exporters of cattle, chicken and swine. Therefore, co-movements of Brazilian meat prices are important for both domestic and foreign stakeholders. We propose to analyse the cross-correlation between meat prices in Brazil, namely, cattle, swine and chicken, including also in the analysis information from some commodities, namely maize, soya beans, oil, and the Brazilian exchange rate. Our sample covers the recent period which coincided with extensive macroeconomic and institutional changes in Brazil, from 2011 to 2020, and is divided in two periods: (i) presidential pre-impeachment (P1), occurring in August 2016, and; (ii) post-impeachment (P2). Our results indicate that in P1, only the prices of swine and chicken showed a positive and strong correlation over time, and that cattle showed some positive correlation with chicken only in the short run. In P2, there was also a positive and consistent correlation between swine and chicken, and only a positive association with swine and cattle in the long run. For more spaced time scales (days), the changes in the degree of correlation were significant only in the long run for swine and cattle.

A NOTE ON OPTIMAL DEBT REDUCTION POLICIES

2019 ◽  
Vol 24 (7) ◽  
pp. 1850-1860 ◽  
Author(s):  
Davide la Torre ◽  
Simone Marsiglio
Keyword(s):  
Economic Policy ◽  
Real World ◽  
Optimal Policy ◽  
Social Costs ◽  
Social Planner ◽  
Long Run ◽  
The Social ◽  
Reduction Problem ◽  
Short Run ◽  
Over Time

We analyze the optimal debt reduction problem in an uncertainty context. The social planner has a finite horizon and seeks to minimize the social costs associated with debt repayment by taking into account not only the short-run costs of the policy, but also the long-run costs associated with the outstanding level of debt. We characterize the optimal policy and the dynamics of the debt-to-GDP ratio, showing that it will decrease over time if economic policy is effective enough. We characterize how the evolution of the debt-to-GDP ratio depends on the main parameters and we present a simple calibration based on Greek data to illustrate the implications of our analysis in real-world setups.

Fiscal Policy in the Longer Term

2011 ◽  
Vol 217 ◽  
pp. F4-F10
Author(s):  
Ray Barrell
Keyword(s):  
Fiscal Policy ◽  
Economic Activity ◽  
Financial Crises ◽  
Economic Distress ◽  
Short Run ◽  
Use Tax ◽  
The Uk ◽  
Over Time

Governments are important players in many parts of the economy, and at present perhaps the most visible is the balance they set between taxing and spending. Tax and spending polices are in part designed to redistribute resources between individuals, but they can also be used to redistribute resources over time. Governments can also use tax and spending policies to sustain or restrain economic activity, and in most countries a case can be made for using active fiscal policy in periods of clear economic distress, or in periods when it would be useful to restrain imbalances that can lead to financial crises. As a result it is difficult to gauge the appropriate stance of policy. Short-run problems have to be balanced against longer-term needs, and mistakes are common. In the UK, for instance, in the six years up until 2008 the balance of policy was perhaps too loose, whilst over the next five years it is probably too tight, even though deficits are projected to be higher than they were before 2009.

scholarly journals The Relationship Between Prices of Various Metals, Oil and Scarcity

Energies ◽  
2018 ◽  
Vol 11 (9) ◽  
pp. 2392 ◽  
Author(s):  
József Popp ◽  
Judit Oláh ◽  
Mária Farkas Fekete ◽  
Zoltán Lakner ◽  
Domicián Máté
Keyword(s):  
Oil Prices ◽  
Resource Depletion ◽  
Renewable Resource ◽  
Commodity Price ◽  
Platinum Group Metals ◽  
Production Ratio ◽  
Real Price ◽  
Long Run ◽  
Essential Questions ◽  
Short Run

No consensus has been reached on the problem of solving resource depletion. A recognition of the fact that resources are not endless and the Earth is a finite globe reinforces the idea that the vision of continuous economic growth is not sustainable over time. The aim of this paper is to examine the efficacy of real prices as an indicator of metals and oil in consideration of growth tendencies in the Consumer Price Indexes. In addition, enhancing the current literature on commodity price interrelationships, the main contribution of this study is the substitution of different proxies in order to justify the effect of scarcity and crude oil changes on the examined metal group prices. In order to demonstrate the usefulness of scarcity as an indicator of real price deviations, the study has been conducted involving various non-renewable metals, i.e., copper, molybdenum, zinc, gold and platinum group metals. The real price indices and metal prices of the US market are constructed between 1913 and 2015. Moreover, additional econometric analyses are also carried out to discover whether prices of various metals associate with oil prices and scarcity, as the proxy of reserves-to-production ratio. The linear regression results seem to suggest that the effects of the R/P ratios are negatively correlated with each of the examined precious (gold, PGMs), mass consumable (copper, zinc) and doping agent (molybdenum) metals from 1991 to 2015. An increase in oil-prices is positively associated with the price levels of each non-renewable resource in the short-run. The findings of multivariate co-integration and Granger causality tests also suggest that pairwise and direct relationships among these variables seem to arise in the long-run. These findings indicate essential questions that must be addressed by future generations in order to appropriately solve scarcity problems.

scholarly journals Vector error correction model relationship between three vegetable oil products

2021 ◽  
Vol 892 (1) ◽  
pp. 012062
Author(s):  
A Rifin ◽  
D Nauly
Keyword(s):  
Soybean Oil ◽  
Vegetable Oil ◽  
Palm Oil ◽  
Oil Prices ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
International Price

Abstract International price of palm oil fluctuated frequently. It is predicted that the international price of palm oil is affected by the other vegetable oil prices. Soybean oil, rapeseed oil and palm oil are the three most important vegetable oil in the word. These commodities compete but on the other hand the world prices are moving in the same direction. This paper analyzes the relationship of these three prices in the short-run and long-run. The method utilizes in the analysis is the vector error correction model (VECM) followed by Impulse Response and Variance Decomposition. The data used is monthly data from January 2003 until December 2020. The results indicate that in the short-run, only the lag of each vegetable oil prices affects their own price. Meanwhile, in the long-run the three prices have long-run relationship or in other words the prices are cointegrated. Using variance decomposition and impulse response shows that soybean oil price has more effect on rapeseed and palm oil prices. Therefore, it can be concluded, the fluctuation of rapeseed and palm oil prices will be affected by the price fluctuation of soybean oil price

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

scholarly journals Growth And Oil Futures Prices In Developing Countries

2011 ◽  
Vol 6 (8) ◽  
Author(s):  
Salah Abosedra ◽  
Sajal Ghosh
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Economic Activity ◽  
Futures Markets ◽  
Oil Prices ◽  
The Philippines ◽  
Spot Price ◽  
Futures Prices ◽  
Oil Futures ◽  
Short Run

This paper examines cointegration and causality between oil prices and economic growth for the oil importing developing countries of Turkey, India, Pakistan, The Philippines and Korea. The study finds the absence of cointegrating relationship between oil prices and economic activity but the existence of unidirectional short-run causality running from oil prices to economic growths for The Philippines and Pakistan. Unidirectional causality is also found to exist from six and nine month futures prices to economic growth for India and Turkey in a bivariate vector autoregression framework. The study fails to establish causal relationship between oil prices and economic growth for Korea, while for India and Turkey, non-causality has been established between oil spot price and economic growth. Hence, our results may suggest that oil futures markets will have more of a role to play in the economy as these markets mature and or as oil prices continue to increase.

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