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Oil Price Shocks And Stock Return Predictability
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Book Synopsis The Distributional Implications of the Impact of Fuel Price Increases on Inflation by : Mr. Kangni R Kpodar
Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Book Synopsis Oil Prices and the Global Economy by : Mr.Rabah Arezki
Download or read book Oil Prices and the Global Economy written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2017-01-27 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.
Book Synopsis Oil Price Uncertainty by : Apostolos Serletis
Download or read book Oil Price Uncertainty written by Apostolos Serletis and published by World Scientific Publishing Company Incorporated. This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Book Synopsis News Shocks in Open Economies by : Mr.Rabah Arezki
Download or read book News Shocks in Open Economies written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2015-09-29 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the effect of news shocks on the current account and other macroeconomic variables using worldwide giant oil discoveries as a directly observable measure of news shocks about future output ? the delay between a discovery and production is on average 4 to 6 years. We first present a two-sector small open economy model in order to predict the responses of macroeconomic aggregates to news of an oil discovery. We then estimate the effects of giant oil discoveries on a large panel of countries. Our empirical estimates are consistent with the predictions of the model. After an oil discovery, the current account and saving rate decline for the first 5 years and then rise sharply during the ensuing years. Investment rises robustly soon after the news arrives, while GDP does not increase until after 5 years. Employment rates fall slightly for a sustained period of time.
Book Synopsis Analyzing Dependent Data with Vine Copulas by : Claudia Czado
Download or read book Analyzing Dependent Data with Vine Copulas written by Claudia Czado and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail dependence and are vital to many applications in finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health. The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling. The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.
Book Synopsis Advances in DEA Theory and Applications by : Kaoru Tone
Download or read book Advances in DEA Theory and Applications written by Kaoru Tone and published by John Wiley & Sons. This book was released on 2017-04-12 with total page 579 pages. Available in PDF, EPUB and Kindle. Book excerpt: A key resource and framework for assessing the performance of competing entities, including forecasting models Advances in DEA Theory and Applications provides a much-needed framework for assessing the performance of competing entities with special emphasis on forecasting models. It helps readers to determine the most appropriate methodology in order to make the most accurate decisions for implementation. Written by a noted expert in the field, this text provides a review of the latest advances in DEA theory and applications to the field of forecasting. Designed for use by anyone involved in research in the field of forecasting or in another application area where forecasting drives decision making, this text can be applied to a wide range of contexts, including education, health care, banking, armed forces, auditing, market research, retail outlets, organizational effectiveness, transportation, public housing, and manufacturing. This vital resource: Explores the latest developments in DEA frameworks for the performance evaluation of entities such as public or private organizational branches or departments, economic sectors, technologies, and stocks Presents a novel area of application for DEA; namely, the performance evaluation of forecasting models Promotes the use of DEA to assess the performance of forecasting models in a wide area of applications Provides rich, detailed examples and case studies Advances in DEA Theory and Applications includes information on a balanced benchmarking tool that is designed to help organizations examine their assumptions about their productivity and performance.
Book Synopsis Energy, the Stock Market and the Putty-clay Investment Model by : Chao Wei
Download or read book Energy, the Stock Market and the Putty-clay Investment Model written by Chao Wei and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Routledge Handbook of Major Events in Economic History by : Randall E. Parker
Download or read book Routledge Handbook of Major Events in Economic History written by Randall E. Parker and published by Routledge. This book was released on 2013 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to introduce readers to the important macroeconomic events of the past two hundred years. It explains what went on and why during the most significant economic epochs of the nineteenth, twentieth and early twenty-first centuries and how where we are today fits in this historical timeline.
Book Synopsis Forecasting the Volatility of Stock Market and Oil Futures Market by : Dexiang Mei
Download or read book Forecasting the Volatility of Stock Market and Oil Futures Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-17 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Book Synopsis Bayesian Multivariate Time Series Methods for Empirical Macroeconomics by : Gary Koop
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Book Synopsis Festschrift in Honor of Peter Schmidt by : Robin C. Sickles
Download or read book Festschrift in Honor of Peter Schmidt written by Robin C. Sickles and published by Springer Science & Business Media. This book was released on 2014-03-15 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the Introduction: This volume is dedicated to the remarkable career of Professor Peter Schmidt and the role he has played in mentoring us, his PhD students. Peter’s accomplishments are legendary among his students and the profession. Each of the papers in this Festschrift is a research work executed by a former PhD student of Peter’s, from his days at the University of North Carolina at Chapel Hill to his time at Michigan State University. Most of the papers were presented at The Conference in Honor of Peter Schmidt, June 30 - July 2, 2011. The conference was largely attended by his former students and one current student, who traveled from as far as Europe and Asia to honor Peter. This was a conference to celebrate Peter’s contribution to our contributions. By “our contributions” we mean the research papers that make up this Festschrift and the countless other publications by his students represented and not represented in this volume. Peter’s students may have their families to thank for much that is positive in their lives. However, if we think about it, our professional lives would not be the same without the lessons and the approaches to decision making that we learned from Peter. We spent our days together at Peter’s conference and the months since reminded of these aspects of our personalities and life goals that were enhanced, fostered, and nurtured by the very singular experiences we have had as Peter’s students. We recognized in 2011 that it was unlikely we would all be together again to celebrate such a wonderful moment in ours and Peter’s lives and pledged then to take full advantage of it. We did then, and we are now in the form of this volume.
Book Synopsis Islamic Corporate Finance by : M. Kabir Hassan
Download or read book Islamic Corporate Finance written by M. Kabir Hassan and published by Routledge. This book was released on 2019-06-04 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most existing texts covering topics in Islamic finance discuss the potential of Islamic banking; very few talk about other forms of financing and the investment activities of Islamic firms from the standpoint of owners and managers. This book fills this gap by looking at the traditional as well as non-traditional financing and investment activities of shariah-compliant companies. The chapters in this edited text offer a full range of topics on corporate finance for Islamic firms, including global comparisons of shariah screening, dividend policy and capital structure of Islamic firms, details of global Islamic equity markets, trends and performance of sukuk markets, and a brief account of derivative securities that can be used in Islamic finance. This is a useful reference for anyone who wishes to learn more about the performance of shariah-compliant companies vis-à-vis conventional firms. The book includes both technical and non-technical information that would be suitable for classroom teaching as well as a reference for postgraduate research students.
Book Synopsis International Dimensions of Monetary Policy by : Jordi Galí
Download or read book International Dimensions of Monetary Policy written by Jordi Galí and published by University of Chicago Press. This book was released on 2010-03-15 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
Book Synopsis Extreme Correlation of International Equity Markets by : François M. Longin
Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate by : Robert A. Amano
Download or read book Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate written by Robert A. Amano and published by . This book was released on 1993 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fundamentals of Microeconomics by : Cecilia Danton
Download or read book Fundamentals of Microeconomics written by Cecilia Danton and published by Murphy & Moore Publishing. This book was released on 2021-11-16 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The branch of economics which deals with the behavior of individual firms as well as consumers in decision-making and allocation of resources is known as microeconomics. Various mathematical tools such as exponential functions, derivatives and statistics are used in microeconomics. The key focus of this field is on analyzing the market mechanisms which establish the relative prices among goods and services and allocate limited resources. Some common theories in microeconomics are the consumer demand theory, production theory, opportunity cost, price theory and cost-of-production theory of value. The topics included in this book on microeconomics are of utmost significance and bound to provide incredible insights to readers. It is compiled in such a manner, that it will provide in-depth knowledge about the theory and practice of microeconomics. This book will serve as a valuable source of reference for those interested in this field.
