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Effect Of Oil Price Shocks In The Us For 1985 2004 Using Var Mixed Dynamic And Granger Causality Approaches
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Book Synopsis Effect of Oil Price Shocks in the U.S. For 1985-2004, Using VAR, Mixed Dynamic and Granger Causality Approaches by : Samer A. M. Al-Rjoub
Download or read book Effect of Oil Price Shocks in the U.S. For 1985-2004, Using VAR, Mixed Dynamic and Granger Causality Approaches written by Samer A. M. Al-Rjoub and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses bivariate VAR, Mixed Dynamic and Granger Causality Approaches, to analyze the news effect of oil prices on the stock market index in the U.S during the recent oil price hikes from the late eighties up to date. All used models show similar evidence. They suggest that oil shock negatively affect the stock market returns in the U.S. Oil prices granger cause movements in the stock market index. The Stock market index will absorb the information of oil price shocks and incorporate it into the stock price instantaneously. Oil price shocks have an immediate negative effect on the U.S stock market.
Book Synopsis Measuring Oil-Price Shocks Using Market-Based Information by : Tao Wu
Download or read book Measuring Oil-Price Shocks Using Market-Based Information written by Tao Wu and published by DIANE Publishing. This book was released on 2010-10 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
Book Synopsis Granger Predictability of Oil Prices After the Great Recession by : Szilard Benk
Download or read book Granger Predictability of Oil Prices After the Great Recession written by Szilard Benk and published by International Monetary Fund. This book was released on 2019-11-01 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real oil prices surged from 2009 through 2014, comparable to the 1970’s oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices, using one adjustment to monetary aggregates. This adjustment is the subtraction from the monetary aggregates of the 2008-2009 Federal Reserve borrowing of reserves from other Central Banks (Swaps), made after US reserves turned negative. This adjustment is key in that Granger predictability from standard monetary aggregates is found only with the Swaps subtracted.
Book Synopsis On the Sources and Consequences of Oil Price Shocks by : Deren Unalmis
Download or read book On the Sources and Consequences of Oil Price Shocks written by Deren Unalmis and published by International Monetary Fund. This book was released on 2012-11-08 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building on recent work on the role of speculation and inventories in oil markets, we embed a competitive oil storage model within a DSGE model of the U.S. economy. This enables us to formally analyze the impact of a (speculative) storage demand shock and to assess how the effects of various demand and supply shocks change in the presence of oil storage facility. We find that business-cycle driven oil demand shocks are the most important drivers of U.S. oil price fluctuations during 1982-2007. Disregarding the storage facility in the model causes a considerable upward bias in the estimated role of oil supply shocks in driving oil price fluctuations. Our results also confirm that a change in the composition of shocks helps explain the resilience of the macroeconomic environment to the oil price surge after 2003. Finally, speculative storage is shown to have a mitigating or amplifying role depending on the nature of the shock.
Book Synopsis Crude Oil Price Fluctuations by : Daisy Michel Edde
Download or read book Crude Oil Price Fluctuations written by Daisy Michel Edde and published by . This book was released on 2010 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the 1970s, the world has experienced several oil price changes with cruel impact on global macroeconomic factors. The first oil price shocks in 1973 provoked the attention of many and the ambiguous relation between oil prices and economic activity encouraged several people to study its trends, causes and short term and long term consequences. Are oil prices linked to the law of the market, to political events, to speculation or future expectations? --Everybody reached the conclusion that oil price fluctuations stimulated inflation and generated recessions but each one got it differently. --In this thesis, we will test the relationship between crude oil price fluctuations and several macroeconomic factors from 1970 to 2009. In addition, an estimation of the impact of oil price shocks on the world economy is done. Chapter 1 is a general introduction about the energy industry particularly oil, and a brief description about the different chapters. Chapter 2 described the major events that happened from the 1970s until 2010 and that affected oil prices hence the macroeconomic performance i.e. Yom Kippur war, Iranian Revolution, Gulf war, Asian Financial Crisis, the sequence of Hurricanes, 2008 Great Recession. Chapter 3 is a discussion of previous studies related to this subject. It helps us identify better the nature of the relation between oil and macroeconomic factors from different point of views. In chapter 4, through the Granger causality test applied on 15 countries, we will analyze how crude oil price fluctuations affect them individually then to analyze the effect of oil price shocks on the global economy, an estimation of these shocks on the world economy is done. It focuses on two oil shocks: The Oil price shocks of 1973 and1985.
Book Synopsis Dynamic Linkages and Volatility Spillover by : Bhaskar Bagchi
Download or read book Dynamic Linkages and Volatility Spillover written by Bhaskar Bagchi and published by Emerald Group Publishing. This book was released on 2016-11-01 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Book Synopsis Measuring Oil-Price Shocks Using Market-Based Information by : Tao Wu
Download or read book Measuring Oil-Price Shocks Using Market-Based Information written by Tao Wu and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional VAR approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand.
Book Synopsis Oil Price Shocks and U.S. Economic Activity by : Nathan S. Balke
Download or read book Oil Price Shocks and U.S. Economic Activity written by Nathan S. Balke and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this paper, we employ Bayesian methods with a dynamic stochastic general equilibrium model of world economic activity to identify the various sources of oil price shocks and economic fluctuation and to assess their effects on U.S. economic activity. We find that changes in oil prices are best understood as endogenous. Oil price shocks in the 1970s and early 1980s and the 2000s reflect differing mixes of shifts in oil supply and demand, and differing sources of oil price shocks have differing effects on economic activity. We also find that U.S. output fluctuations owe mostly to domestic shocks, with productivity shocks contributing to weakness in the 1970s and 1980s and strength in the 2000s.
Book Synopsis Oil Price Shocks and Policy Uncertainty by : Wensheng Kang
Download or read book Oil Price Shocks and Policy Uncertainty written by Wensheng Kang and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Important interaction has been established for US economic policy uncertainty with a number of economic and financial variables including oil prices. This paper examines the dynamic effects of US and non-US oil production shocks on economic policy uncertainty using a structural VAR model. Such an examination is motivated by the substantial increases in US oil production in recent years with implications for US political and economic security. Positive innovations in US oil production are associated with decreases in US economic policy uncertainty. The economic forecast interquartile ranges about the US CPI and about federal/state/local government expenditures are particularly sensitive to innovations in US oil supply shocks. Shocks to US oil supply disruption causes rises in the CPI forecast uncertainty and accounts for 21% of the overall variation of the CPI forecaster disagreement. Dis-aggregation of oil production shocks into US and non-US oil production yield novel results. Oil supply shocks identified by US and non-US origins explain as much of the variatio in economic policy uncertainty as structural shocks on the demand side of the oil market.
Book Synopsis The U.S. Oil Supply Revolution and the Global Economy by : Mr.Kamiar Mohaddes
Download or read book The U.S. Oil Supply Revolution and the Global Economy written by Mr.Kamiar Mohaddes and published by International Monetary Fund. This book was released on 2015-12-10 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through imposing dynamic sign restrictions on the impulse responses of the model. The results show that there are considerable heterogeneities in the responses of different countries to a U.S. supply-driven oil price shock, with real GDP increasing in both advanced and emerging market oil-importing economies, output declining in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results suggest that following the U.S. oil revolution, with oil prices falling by 51 percent in the first year, global growth increases by 0.16 to 0.37 percentage points. This is mainly due to an increase in spending by oil importing countries, which exceeds the decline in expenditure by oil exporters.
Book Synopsis Impact of Oil Price Increases on U.S. Economic Growth by : Sahbi Farhani
Download or read book Impact of Oil Price Increases on U.S. Economic Growth written by Sahbi Farhani and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two oil shocks of the 1970s reduced the GDP growth rate, and since that period, sudden oil price increases have been considered as a major source of economic slowdown in the world. We thus estimate simple linear regression model (SLRM), dynamic regression model (DRM) and VAR model to evaluate the impact of oil price increases on the U.S economic growth. Our results indicate strong weaknesses on the relation between these two factors in what way that the relation has had a low significant effect caused by the existence of breakpoints and the asymmetric effects of the oil price variations.
Book Synopsis Structural Change and the Macroeconomic Effects of Oil Shocks by : Michael M. Hutchison
Download or read book Structural Change and the Macroeconomic Effects of Oil Shocks written by Michael M. Hutchison and published by . This book was released on 1992 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays On The Macroeconomic Effects Of Oil Price Shocks On The U.S. Economy by : Romita Mukherjee
Download or read book Essays On The Macroeconomic Effects Of Oil Price Shocks On The U.S. Economy written by Romita Mukherjee and published by . This book was released on 2011 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large volume of research has acknowledged the role of oil price shocks to generate a significant stagflationary impact on U.S. and other oil importing nations. Recent research however shows a paradigm shift in this oil price-macroeconomy relationship since the mid 1980s, during which the U.S. economy has been relatively resilient to oil shocks. Both output contraction and inflationary expectations have been milder in the post mid 1980s than before. But the 2007-08 oil shock episode has re-emphasized the immense impact of the ebbs and flows of oil prices on the U.S. economys ups and downs. Global oil price peaked at $148 a barrel in June 2008. With the mortgage crisis and credit crunch, oil was another blow too many. The U.S. economy swamped into one of the greatest recessions of all times. According to Hamilton (2009), the 2007-08 oil shock had a significant contribution to the recent recession. While a lot of work have been done on the effects of oil price shocks on the U.S. economy, relatively little work has investigated what triggers oil price increase. My research illustrates why it is important to study the cause of an oil price rise. First, the effects of oil price rise on the macro variables depend heavily on what causes the shock. Secondly, whereas the oil price hikes of the 1970s and early 1980s can mostly be attributed to exogenous events in OPEC (Arab Oil Embargo, Iran-Iraq War, Iranian Revolution), a significant source of oil price spikes in the post mid 1980 era have been an increase in global oil demand confronting stagnating oil production. From a policy perspective, of course, policies aimed at dealing with higher oil prices must take careful account of what causes oil prices to rise. Empirical research that demonstrates the resilience of U.S. economy to oil price shocks builds on the implicit assumption that as oil price varies, everything else in the global economy is held constant. Thus all variations in oil prices are taken as alike and exogenous. This overlooks the possibility that oil price rise sparked off by diverse events can potentially lead to different repercussions. This thesis is an attempt to develop framework to study the endogenous increase in oil price. The oil price increase arises from increase in U.S. growth rate, increase in foreign growth rate and a purely exogenous oil supply shock by OPEC. The most important result is that the source of oil price rise has changed after the mid 1980s - whereas before the mid 1980s, bulk of the variation in oil price was due to supply shocks by OPEC, post mid 1980s, most of the variation in oil price is explained by increase in U.S. and foreign growth. Furthermore, if the origin of the oil price rise is the same, then the responses of most U.S. macroeconomic variables display remarkable similarity in the pre and post mid 1980s. This result gives us a new way to look at the resilience of the U.S. economic activity to oil price rise since the mid 1980s. The resilience can be explained to a significant extent by the fact that the type of shocks resulting in oil price rise has changed.
Book Synopsis Dynamic Analysis in Productivity, Oil Shock, and Recession by : Munechika Katayama
Download or read book Dynamic Analysis in Productivity, Oil Shock, and Recession written by Munechika Katayama and published by . This book was released on 2008 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter analyzes the predictive power of the interest rate for various industry-level measures of productivity growth. Although industry-level data are only available at an annual frequency, by using the state space model and the Kalman filter, it is possible to perform the Granger-causality test at a quarterly frequency. The results highlight the heterogeneous nature of predictive power and suggest that the nonexogeneity of the Solow residual reported by Evans (1992) is due to manufacturing industries. In addition, two case studies on industries in which we can obtain an appropriate measure of capital utilization rate show that the forecasting ability of the interest rate diminishes after taking account of variable capital utilization in TFP growth. The second chapter studies macroeconomic consequences of oil-price shocks. Output responses to oil-price shocks not only tend to be weaker, but also to peak earlier recently. This chapter builds a model that incorporates a realistic structure of US petroleum consumption and explores three possible explanations for the changes. The first is based on deregulation in the transportation sector, which has brought more competition and improved efficiency in the industry. The second is overall improvements in use of energy. The third is less persistence of the oil-price shock. Under realistic parameter values, it is demonstrated that all three factors play an important role quantitatively. These three factors together could account for a large portion of the changes over time. The third chapter examines forecasting models of recession probabilities. There are two margins to improve forecasting accuracy: including additional variables and using different functional form. Using out-of-sample and cross validation methods, I systematically compare the performance of various forecasting models that differ in terms of variables included and functional forms used. I find substantial gains from including additional variables, such as the S\ & P 500 and non-farm employment growth, together with the term spread. Additionally, we can further improve forecasting accuracy by utilizing a non-Normal distribution. I also explore this possibility by using the generalized Edgeworth expansion. Resulting predictions outperform ones from a probit model in all three measures of forecasting accuracy considered.
Book Synopsis Oil Price Shocks and Monetary Policy in a Data-rich Environment by : Knut Are Aastveit
Download or read book Oil Price Shocks and Monetary Policy in a Data-rich Environment written by Knut Are Aastveit and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The U.S. Oil Supply Revolution and the Global Economy by : Kamiar Mohaddes
Download or read book The U.S. Oil Supply Revolution and the Global Economy written by Kamiar Mohaddes and published by . This book was released on 2015 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through imposing dynamic sign restrictions on the impulse responses of the model. The results show that there are considerable heterogeneities in the responses of different countries to a U.S. supply-driven oil price shock, with real GDP increasing in both advanced and emerging market oil-importing economies, output declining in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results suggest that following the U.S. oil revolution, with oil prices falling by 51 percent in the first year, global growth increases by 0.16 to 0.37 percentage points. This is mainly due to an increase in spending by oil importing countries, which exceeds the decline in expenditure by oil exporters. --Abstract.
Book Synopsis Oil Price Shocks, Market Response, and Contingency Planning by : George Horwich
Download or read book Oil Price Shocks, Market Response, and Contingency Planning written by George Horwich and published by American Enterprise Institute. This book was released on 1984 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
