scholarly journals The Symmetric and Asymmetric Effects of Oil Shocks on Macroeconomic Variables in Iran during the Period of 1369-1395

2019 ◽  
pp. 142-163
Author(s):  
Musa Khoshkalam Khosroshahi
Keyword(s):  
Oil Shocks ◽  
Macroeconomic Variables ◽  
Asymmetric Effects

scholarly journals THE ASYMMETRIC EFFECTS OF UNCERTAINTY ON MACROECONOMIC ACTIVITY

2016 ◽  
Vol 20 (5) ◽  
pp. 1219-1246 ◽  
Author(s):  
Paul M. Jones ◽  
Walter Enders
Keyword(s):  
Financial Crisis ◽  
Linear Model ◽  
Smooth Transition ◽  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
State Of The Economy ◽  
Recent Financial Crisis ◽  
Positive Shock ◽  
Smooth Transition Autoregressive ◽  
Negative Shock

We estimate a number of macroeconomic variables as logistic smooth transition autoregressive (LSTAR) processes with uncertainty as the transition variable. The notion is that the effects of increases in uncertainty should not be symmetrical with the effects of decreases in uncertainty. Nonlinear estimation allows us to answer several interesting questions left unanswered by a linear model. For a number of important macroeconomic variables, we show that (i) a positive shock to uncertainty has a greater effect than a negative shock and (ii) the effect of the uncertainty shock is highly dependent on the state of the economy. Hence, the usual linear estimates for the consequences of uncertainty are underestimated in circumstances such as the recent financial crisis.

Asymmetric effects of oil shocks on carbon allowance price: Evidence from China

2021 ◽  
Vol 97 ◽  
pp. 105183
Author(s):  
Yan Zheng ◽  
Min Zhou ◽  
Fenghua Wen
Keyword(s):  
Oil Shocks ◽  
Asymmetric Effects

scholarly journals PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES

2021 ◽  
Vol 30 (2) ◽  
pp. 571-586
Author(s):  
Mile Bošnjak ◽  
◽  
Jurica Vukas ◽  
Ivan Šverko
Keyword(s):  
Unemployment Rate ◽  
Index Construction ◽  
Macroeconomic Variables ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Production Index ◽  
Asymmetric Effects ◽  
Nonperforming Loans ◽  
Regression Approach ◽  
Construction Works

This paper aims to examine some of the macroeconomic drivers of nonperforming loans (NPL) in Croatia. Unemployment rate, industrial production index, construction works volume and the number of tourist arrivals were evaluated as the drivers on a quarterly data sample from 2008q4 to 2020q4. Following quantile regression approach, unemployment rates and construction works volume appeared as significant drivers of NPL in Croatia. Furthermore, empirical findings from this paper suggest asymmetric effects on NPL from its drivers. While decrease in construction works volume and increase in unemployment rates were found to correspond with increase in NPL, an increase in construction works volume and decrease in unemployment rates were not correlated with decrease in NPL. Consequently, the paper brings implications for credit institutions in Croatia within the context of COVID-19 pandemic crises.

scholarly journals Oil Prices and the Algerian Exchange Rate: Is there any Difference with Hidden Co-Integration?

2021 ◽  
Vol 21 (1) ◽  
pp. 1-17
Author(s):  
Hicham Ayad
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Shocks ◽  
Oil Price Shocks ◽  
Asymmetric Effect ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Integration Analysis

Abstract Research background: The aim of this paper is to examine the long run relationship among oil prices and the Algerian Dinar exchange rate over the period January 1995–February 2020 in Algeria as one of the most important oil-exporting countries and one of the OPEC members. Purpose: This study investigated the co-integration relationship between oil prices and exchange rate in Algeria by testing the long-run relationship between the two variables and their positive and negative shocks. Research methodology: the study applied both the traditional co-integration analysis using Engle-Granger, Phillips-Ouliaris and Johansen-Juselius tests and the hidden co-integration presented by Granger and Yoon (2002). Results: The results revealed that there is no evidence of a co-movement and linkage between oil prices and exchange rate in Algeria over the period of study neither with the original series nor between the cumulative components whatever the dependent variable. Novelty: This paper fills in the missing link between the Algerian Dinar exchange rate and oil prices especially with the absence of the hidden co-integration analysis in the case of Algeria and most of the developing countries. To deal with the oil shocks according to Apergis and Miller (2007) and Narayan and Gupta (2015) studies where when they suggested distinguishing between the negative and positive oil price shocks because the asymmetric effect on the macroeconomic variables.

Asymmetric impact of oil price shocks on selected macroeconomic variables: NARDL exposition

2020 ◽  
pp. 171-189
Author(s):  
Omoke Philip Chimobi ◽  
Uche Emmanuel
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
Asymmetric Impact

The preoccupation of this study is to give empirical explanations to the existing relationship between oil price dynamics and some selected macroeconomic variables in Nigeria. Specifical-ly, it seeks to identify if the impacts of the changing oil prices on output, investment and un-employment is symmetric or asymmetric. Monthly time series data used in the research was subjected to a nonlinear analysis through the newly developed NARDL. To that effect, our findings reveal that changes in oil prices has asymmetric effects on the chosen macroeconomic variables. Our findings call for different policy formulations for up and down swings in oil prices

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