scholarly journals State of Shocks Synchronization among Members of the GCC

2017 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Ashraf Nakibullah
Keyword(s):  
Supply And Demand ◽  
Aggregate Demand ◽  
Oil Price ◽  
Model Specification ◽  
Structural Shocks ◽  
Demand Shocks ◽  
Gcc Countries ◽  
Aggregate Supply ◽  
Supply And Demand Shocks ◽  
Svar Model

This paper examines fluctuations of aggregate supply and demand shocks across the GCC countries. It argues that the world oil price influences aggregate demand and supply of these countries. Thus, in contrast to other studies, a SVAR model is used to identify structural shocks by including the oil price. The aggregate supply and demand shocks are then analyzed. The correlations of supply shocks among the member countries are either negative or low positive. Similarly, the correlations of demand shocks, except few pairs of countries, are also negative and low positive. Thus, shocks are not synchronized. These results are different than the results found in other similar studies probably due to the model specification. The implication of the findings is that the GCC countries would find it difficult to adjust supply and demand shocks if they form their aspired Gulf Monetary Union.

scholarly journals Identifying Aggregate Supply and Demand Shocks in South Africa

2008 ◽  
Vol 17 (5) ◽  
pp. 765-793 ◽  
Author(s):  
S. du Plessis ◽  
B. Smit ◽  
F. Sturzenegger
Keyword(s):  
South Africa ◽  
Supply And Demand ◽  
Demand Shocks ◽  
Aggregate Supply ◽  
Supply And Demand Shocks

scholarly journals Are PIIGS so different? An empirical analysis of demand and supply shocks

2017 ◽  
Vol 64 (2) ◽  
pp. 189-222 ◽  
Author(s):  
Irina Syssoyeva-Masson ◽  
Andrade Sousa
Keyword(s):  
Supply And Demand ◽  
Parametric Representation ◽  
Structural Vector Autoregression ◽  
Demand And Supply ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Supply And Demand Shocks ◽  
Long Run ◽  
Svar Model ◽  
The Usa

This paper analyses responses to supply and demand shocks in PIIGS countries. We compare the results obtained for PIIGS with those of Germany and the USA, and also with those of France, which despite its government?s efforts demonstrate relatively poor recent economic performance. The main objective of this paper is to establish whether it is still reasonable to consider PIIGS as a group apart. Our methodological strategy is based on the Okun Law (OL) which is incorporated in a Structural Vector Autoregression (SVAR) model with Blanchard-Quah (BQ) restrictions. We address two drawbacks that usually present in the OL: the interdependency problem and the non-stationarity problem. By using a non-parametric representation of OL, we identify the heterogeneity between countries. We build stable VAR models for each of the economies and use the BQ SVAR impulses to analyse the importance of contemporary and long-run effects of supply and demand shocks. The main conclusion of this paper is that it does not make any sense today to identify PIIGS as a separate group. Additionally, a country that stands out from our analysis is France. The question can thus be posed that if ?PIIGS? signifies ?countries with poor economic performances? then should not France also belong to this group?

scholarly journals Gulf Cooperation Council Monetary Union: Business Cycle Synchronization, Shocks Correlation

2012 ◽  
Vol 11 (2) ◽  
pp. 137 ◽  
Author(s):  
Nabil Ben Arfa
Keyword(s):  
Business Cycle ◽  
Supply And Demand ◽  
Gulf Cooperation Council ◽  
Output Growth ◽  
Structural Var ◽  
Business Cycle Synchronization ◽  
Demand Shocks ◽  
Gcc Countries ◽  
Supply And Demand Shocks ◽  
Long Run

In this paper we assess the readiness of the Gulf cooperation council members (Qatar, Saudi Arabia, Kuwait and Bahrain) to form a viable currency monetary area. It deals with business cycle synchronization and economic shocks correlation. To do so we employ different methods, first we extract the business cycle component of output using Hodrick-Prescott filter. Second, supply and demand shocks are recovered from an estimated structural VAR model of output growth and inflation using long run restriction (Blanchard and Quah). We then check the (A) symmetry of these shocks by calculating the correlation between GCC countries. Its appears from our investigation that there is no business cycle synchronization evidence between GCC countries, business cycle is rather divergent among them. And despite of the demand shocks symmetry, supply shocks are rather asymmetric. We therefore conclude that there is no evidence of the readiness of the GCC members to form a monetary currency union

scholarly journals The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy

2021 ◽  
Vol 9 (5) ◽  
pp. 469-497
Author(s):  
Ping Li ◽  
Jie Li ◽  
Ziyi Zhang
Keyword(s):  
Aggregate Demand ◽  
Oil Price ◽  
Oil Shocks ◽  
Time Varying ◽  
Oil Price Shocks ◽  
Structural Vector Autoregression ◽  
Price Shocks ◽  
Demand Shocks ◽  
Macroeconomic Variables ◽  
Svar Model

Abstract In this paper, we apply the structural vector autoregression (SVAR) model to decompose the international oil price shock into oil supply shocks, aggregate demand shocks and oil-specific demand shocks, and then use the DCC-GARCH model to analyse the dynamic correlations between these three kinds of oil price shocks and the macroeconomic variables of several oil importing and exporting countries. To quantify the intensity of the effect of oil shocks on these variables, we propose a measure, conditional expectation (CoE), to capture the percent change of the economic variable under oil price shocks relative to the median state. The time-varying copula model is employed to estimate the proposed measure through time. The empirical results show that, for instance, the impacts of oil price shocks on macroeconomic variables are different in different periods, showing the time-varying characteristics. Additionally, the impacts of oil price shocks on macroeconomic variables show great differences and some similarities among different countries. Finally, we give some policy suggestions for these countries, in particular for China’s special results.

scholarly journals The Response of G7 Real Exchange Rates to Oil Price Shocks

2018 ◽  
Vol 10 (4) ◽  
pp. 191
Author(s):  
Moayad H. Al Rasasi
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Forecast Error ◽  
Supply And Demand ◽  
Real Exchange Rates ◽  
Aggregate Demand ◽  
Demand Shocks ◽  
Oil Supply ◽  
Exchange Rate Shocks

This paper evaluates the response of G7 real exchange rates to oil supply and demand shocks developed by Kilian (2009). We find evidence suggesting that oil shocks are associated with the appreciation (depreciation) of real exchange rates for oil exporting (importing) countries. Further evidence, based on the analysis of forecast error variance decomposition, indicates that oil-specific demand shocks are the main contributor to variation in real exchange rates, whereas oil supply shocks contribute the least. Finally, regarding the role of monetary policy in responding to oil and exchange rate shocks, we find evidence showing monetary policy reacts only to oil-specific demand and aggregate demand shocks in three countries, whereas monetary policy responds to real exchange rate fluctuations in four countries.

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