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

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.

scholarly journals The Effects of Oil Price Volatility on the Economic Sectors of Libya

2017 ◽  
Vol 6 (12) ◽  
pp. 13
Author(s):  
Nagmi M. Moftah Aimer
Keyword(s):  
Policy Development ◽  
Negative Impact ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Annual Data ◽  
Economic Sectors ◽  
Positive Effects ◽  
Oil Price Volatility ◽  
The Impact

<p>Fluctuations in oil price and its impact on economic development is an important issue facing a growing number of world economies. A simple changes in oil prices lead to negative or positive effects on all the economic sectors. This paper seeks to investigate the impact of oil price volatility on economic sectors in the Libyan economy context on the basis of annual data spanning from 1968-2012. The Johansen based Co-integration technique is applied to examine the sensitivity of economic sectors to volatility in oil prices in the long-run. And the short-run relationship is tested by Vector Error Correction Model. Through examining the results, that there is a long-term relationship of oil prices on the agriculture, construction, manufacturing and transport sectors. Finally, this study concludes that increases in oil price did not significantly affect the manufacturing sector in aggregate terms. Moreover, the negative impact on the sector of manufacturing and agriculture. Thus, this study has a significant impact in the Libyan economy in policy development on oil prices. The Libyan government needs to control the price to make sure that price volatility will not harm the manufacturing, agriculture, construction and transport sectors.</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.

Oil and Methanol Price volatility

2013 ◽  
Vol 03 (08) ◽  
pp. 01-10
Author(s):  
Majid Delavari ◽  
Nadiya Gandali Ali khani ◽  
Esmaeil Naderi
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Price Volatility ◽  
High Sensitivity ◽  
Oil Price ◽  
Series Data ◽  
Cultural Issues ◽  
Crude Oil Price ◽  
Oil Export ◽  
The One

Crude oil as one of the main sources of energy is also the main source of income for members of OPEC. So, the volatility of crude oil price is one of the main economic variables in the world and analysis of the effect of its changes on key economic factors has been always considered as significant. The reason might be the high sensitivity of oil price to political, economic and cultural issues worldwide and consequently its volatility on the one hand, and the high influence of the volatile prices on macroeconomic variables. On the other hand, for different reasons such as oil price volatilities and income from oil export, economic planners and policy makers in Iran have been mainly focused on the promotion of non-oil exports especially during the last few decades. Therefore, methanol as one of the most commonly used petrochemical products has a high potential for production and export of non-oil products in Iran. For this reason, in the present study there was an attempt to examine the relationship between the prices of Iran’s crude oil and methanol using FIGARCH model and based on the weekly time series data related to the research variables. The results of the study showed that the long memory parameter is equal to 0.32 which is meaning the shocks caused by volatility of methanol market and crude oil price to the methanol price were lasting and meaningful and were revealed in the long term.

scholarly journals Linear and Nonlinear Dynamics of the Turkish Trade Balance

2016 ◽  
Vol 8 (2) ◽  
pp. 70 ◽  
Author(s):  
Huseyin Karamelikli
Keyword(s):  
United States ◽  
United Kingdom ◽  
Exchange Rate ◽  
Trade Balance ◽  
Bilateral Trade ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
J Curve ◽  
Short Run

<p>This study empirically analyses bilateral trade of Turkey with her main trade partners using monthly time series data over the period of 2000 to 2015. J-curve theory and short-run dynamics of bilateral trade is tested by linear ARDL and Non-linear ARDL approaches. The empirical results indicate that there is no J-curve effect during short-run for United States and for France; it symmetrically exists to Germany and asymmetrically to United Kingdom. Also long-run relationship between exchange rate and trade balance has mixed results. Asymmetric long-run relationship between exchange rate and trade balance for United States exists where it is symmetrically most appropriate for Germany. In the other hand this study failed to verify any long-run relationship between exchange rate and trade balance for France and for United Kingdom.</p>

scholarly journals Analysing the Exchange Rate Volatility Relative to Trade Balance: The Case of SACU Countries

2020 ◽  
pp. 60-74
Author(s):  
Christine M. Haansende ◽  
Jacob M. Nyambe
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Foreign Exchange Market ◽  
Time Series Data ◽  
Negative Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate

The term exchange rate volatility is widely used in the financial market. The exchange rate is determined in the foreign exchange market, which is said to be the largest market in the world and it trades in financial assets. The main focus of this study is to analyse the nature of the relationship between exchange rate and trade balance in the selected member states of the SACU region in which the selected countries are Botswana, Namibia, Swaziland and South Africa. This study uses time series data from the period of 1986 to 2016. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, the impulse response functions and variance decompositions are used in the analysis. Results show that there is a short-run relationship between exchange rate volatility and trade balance. It was found that there is a positive and negative impact between these two variables, with high volatility. Furthermore, this study recommends all Central Banks in the SACU region to intervene in order to mitigate exchange rate volatility.

scholarly journals An empirical analysis of volatility in South African oil prices

2021 ◽  
Vol 32 (3) ◽  
pp. 67-75
Author(s):  
Victor Mbua Mofema ◽  
Gisele Mah
Keyword(s):  
Interest Rates ◽  
South African ◽  
Money Supply ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Per Capita

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.

A Comparative Study on the Behavior of Islamic and Conventional Stocks in the Presence of Oil Price, Gold Price, and Financial Risk Factors: Evidence from Dow Jones Indices

2019 ◽  
Vol 2 (2) ◽  
pp. 117-128
Author(s):  
Danish Iqbal Godil ◽  
Salman Sarwat ◽  
Muhammad Umer Quddoos ◽  
Muhammad Hanif Akhtar
Keyword(s):  
Time Series ◽  
Financial Risk ◽  
Time Series Data ◽  
Oil Prices ◽  
Gold Price ◽  
Oil Price ◽  
Series Data ◽  
Volatility Index ◽  
West Texas

The research aims to analyze the influence of the gold price, oil price and financial risk on Islamic and conventional securities on comparative as well as on individual bases. Monthly prices of oil and gold are extracted from the websites of West Texas Intermediate and World Gold Council, whereas time series data for financial risk is derived from the Volatility Index of S&P 500.  All these variables are found to be cointegrated at the first difference with both the Dow Jones indices, which means that gold, oil and financial risk have long term association with Islamic and conventional stocks. In order to find the direction and magnitude, this study applied the Newey-West HAC test, which also handles autocorrelation and heteroscedasticity issues in the time series data. The findings of the study suggest that gold prices are positively associated whereas oil prices and financial risk are negatively associated with both types of securities. Though the direction of the nexus is similar for Islamic and conventional stocks, but the magnitude differs especially in case of oil and financial risk. Nevertheless, it can be concluded that there is no diversification prospect between conventional and Islamic stocks under the influence of oil prices, financial risk, and gold prices.

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

scholarly journals Economic Determinants of Unemployment in Malaysia: Short – and Long – Run Causality

2021 ◽  
Vol 11 (1) ◽  
pp. 251
Author(s):  
Jason Freedline Baba ◽  
Dayang Haszelinna Binti Abang Ali
Keyword(s):  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Series Data ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Determinants Of Unemployment

The problem of unemployment has become a worrisome issue over the past few years as it is growing at an alarming state in many countries throughout the world particularly in developing countries such as Malaysia. There are numerous factors that cause this phenomenon. Therefore, the aim of this study is to empirically investigate the determinants of unemployment in Malaysia as well as the relationship between unemployment and the chosen fundamental macroeconomic factors such as gross domestic product, foreign direct investment, inflation, and population. This study utilized the annual time series data of 31 year period starting from the year 1985 to the year 2015. The methodology of econometric analysis have been applied in this study such as unit root tests, co-integration test, vector error correction model, variance decompositions, and impulse response functions analysis. The findings showed that there are presences of short run causality among the variables and also a presence of long run only when population act as the dependent variable in the model. Besides, the findings indicate that GDP has a significant negative impact whereas FDI has a significant positive impact on unemployment in Malaysia. Overall, the conclusion of this study suggests that demand side policies and supply side policies are the most excellent and suitable approach in overcoming the problem of unemployment in Malaysia.

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