scholarly journals Oil Price Shocks and Variations in Macroeconomic Variables in Nigeria

2019 ◽  
Keyword(s):  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Macroeconomic Variables

scholarly journals DO OIL PRICE SHOCK, AND OTHER MACROECONOMIC VARIABLES AFFECT THE STOCK MARKET: A STUDY OF THE SAUDI STOCK MARKET

2020 ◽  
Vol 8 (3) ◽  
pp. 1234-1242 ◽  
Author(s):  
Naushad Alam
Keyword(s):  
Stock Market ◽  
Negative Relationship ◽  
Oil Price ◽  
Security Market ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Oil Price Shock ◽  
Price Shock

Purpose of the study: This work aims to find the type of relationship amongst the chosen variables, inflation (INF), short-term interest rate (SIR), money supply (M.S.) and crude oil price (COP) and oil price shocks represented by DUMMY respectively on the capital market of Saudi Arabia. It will also throw insight to policymaker to find factors which influence the capital market of Saudi Arabia and to take remedial measures to boost investment in the country. Research Methodology: The relationships amongst the Saudi security market, the oil price shock, and the selected macroeconomic variables as mentioned above are determined using the Johansen test of co-integration, the vector error correction model, and the Wald test. The research employs the time series data for a period of 2009to 2016, for the study. Findings: The results show a long-run equilibrium relationship between the Saudi stock market and the selected variables for the study. The study shows a positive association between the money supply and the stock market, but inflation, short-term interest rate, and crude oil price, the result indicates a negative relationship. Implications: The present study can have implications for the policymaker to take corrective measures for better performance of the stock market by controlling inflation and regulating the short-term interest rate.As the findings indicate that they have a negative relationship with TASI. This paper will also help the policymaker in identifying the real cause for the decline in the value of the stock price. A good performing stock market means better economic growth and overall economic development. To diversify the economy to have an alternative to the oil-driven economy to a more balanced economy by promoting other sectors like manufacturing and tourism. Novelty/Originality of this study: The literature review confirms that all work of oil price shock is related to its effect on the security market return. This work is different from the other study as it includes macroeconomic variables in the study, together with the oil price shocks. The study is unique from other studies as it is broader in approach, by including more variables than earlier studies which mostly included the oil price shocks and its impact on the stock market. There is no work done to investigate the joint effect of macroeconomic variables and oil price shocks on the Saudi stock market.

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

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.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

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