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Author : Lutz Kilian
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (155 download)
Download or read book The Impact of Oil Price Shocks on the U.S. Stock Market written by Lutz Kilian and published by . This book was released on 2007 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lutz Kilian
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (155 download)
Download or read book The Impact of Oil Price Shocks on the U.S. Stock Market written by Lutz Kilian and published by . This book was released on 2007 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ben S. Bernanke
Publisher : MIT Press
ISBN 13 : 9780262523233
Total Pages : 398 pages
Book Rating : 4.5/5 (232 download)
Download or read book NBER Macroeconomics Annual 2001 written by Ben S. Bernanke and published by MIT Press. This book was released on 2002 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current issues in macroeconomics.
Author : Wensheng Kang
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Impact of Oil Price Shocks on the U.S. Stock Market written by Wensheng Kang and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production since 2009. Our results underscore the importance of the disaggregation of world oil supply and of the recent extraordinary surge in the U.S. oil production for analysing impact on U.S. stock prices. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.
Author : Jordi Galí
Publisher : University of Chicago Press
ISBN 13 : 0226278875
Total Pages : 663 pages
Book Rating : 4.2/5 (262 download)
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.
Author : Zhe Sun (M.Fin.)
Publisher :
ISBN 13 :
Total Pages : 81 pages
Book Rating : 4.:/5 (864 download)
Download or read book The Impact of Oil Price Shocks on the U.S. Stock Market written by Zhe Sun (M.Fin.) and published by . This book was released on 2013 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tao Wu
Publisher : DIANE Publishing
ISBN 13 : 1437935583
Total Pages : 41 pages
Book Rating : 4.4/5 (379 download)
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.
Author : Mr. Kangni R Kpodar
Publisher : International Monetary Fund
ISBN 13 : 1616356154
Total Pages : 34 pages
Book Rating : 4.6/5 (163 download)
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.
Author : Joseph H. Davis
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Oil, the Economy, and the Stock Market written by Joseph H. Davis and published by . This book was released on 2008 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We quantify the time-varying effects of oil-price shocks on the U.S. economy, Federal Reserve policy, and global equity markets. While the first-round impact of oil-price shocks on U.S. economic growth has not changed materially over time, their formerly-negative second-round effects are notably absent over the past 25 years given oil's near-zero impact on long-term inflation expectations. Since oil-price shocks now represent a less-stagflationary policy tradeoff, we show why the Federal Reserve should lower short-term interest rates in response to an oil-price shock under certain (but not all) macro scenarios. For domestic and international stocks, simple regressions reveal the anticipated inverse relationship, with a 10% increase in oil prices associated with a statistically significant 1.5% lower total return. However, the stock market's reaction varies dramatically depending on the source of the oil-price shock, with global stocks - in particular the industrial and materials sectors - responding quite favorably to oil-price increases attributed to global-demand shocks. A key implication is that oil-price increases do not uniformly lead to lower stock returns. Interestingly, our oil-price decomposition suggests that oil's recent surge cannot be explained by supply disruptions, global demand fundamentals, or the depreciation of the U.S. dollar.
Author : Deren Unalmis
Publisher : International Monetary Fund
ISBN 13 : 1475586361
Total Pages : 41 pages
Book Rating : 4.4/5 (755 download)
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.
Author : Chao Wei
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.F/5 ( download)
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:
Author : Samer A. M. Al-Rjoub
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Jung Wook Park
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (173 download)
Download or read book Oil Price Shocks and Stock Market Behavior written by Jung Wook Park and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyze the relationship between oil price shocks and stock market for the US and 13 European countries with monthly data from 1986.1-2005.12. Three countries (Denmark, Norway and the UK) among 13 European countries are oil exporting countries. Unrestricted multivariate Vector Autoregression (VAR) with 4 variables (interest rates, real oil price changes, industrial production and real stock returns) is estimated as well as impulse response function and variance decomposition. With regard to impact of oil price shocks on the stock market, in most oil importing countries oil price shocks have significantly negative effect on the stock market in the same month or in one month, while among oil exporting countries only Norway shows a significantly positive response of real stock returns to oil price shocks. Comparing the impacts of oil price shocks and interest rate (monetary) shocks on the stock market, in most oil importing countries oil price shocks have a greater impact than interest rate shocks, except for a few countries where monetary policy responds systemically to oil price shocks by raising interest rates, which leads to a decline in real stock returns. Therefore, taking into account the response of monetary policy to oil price shocks, oil prices play a crucial role in the stock market of oil importing countries. On the contrary, in oil exporting countries oil price shocks have a smaller impact on the stock market than interest rate shocks, and monetary policy does not respond to the oil price shocks. According to the literature, oil price shocks have an asymmetric effect on economic activity and the stock market in that oil price increases have a greater impact than oil price decreases. However, in this dissertation, the asymmetric pattern is a little different. In the sub-sample period (1996.5-2005.12) when oil price increases more frequently than oil price decreases and the average magnitude of oil price increases is smaller than that of oil price decreases, stock markets in most countries are more influenced by oil price decreases than oil price increases in the variance decomposition analysis. In particular, statistically significant evidence at the 5% level is found that oil price decreases have a greater impact on real stock returns than oil price increases after the mid 1990's in the US.
Author : Mr.Aasim M. Husain
Publisher : International Monetary Fund
ISBN 13 : 151357227X
Total Pages : 41 pages
Book Rating : 4.5/5 (135 download)
Download or read book Global Implications of Lower Oil Prices written by Mr.Aasim M. Husain and published by International Monetary Fund. This book was released on 2015-07-14 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.
Author : Mondher Bellalah
Publisher : Cambridge Scholars Publishing
ISBN 13 : 1443833126
Total Pages : 880 pages
Book Rating : 4.4/5 (438 download)
Download or read book 6th International Finance Conference on Financial Crisis and Governance written by Mondher Bellalah and published by Cambridge Scholars Publishing. This book was released on 2011-08-08 with total page 880 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets, the banking system, and the real estate, commodity and energy markets have, since 2007, been experiencing higher integration, more volatility and have undergone several shocks. More coordination is needed between G20 and market authorities. Regulators, banking supervision agencies and politicians are worried about economic growth and financial crisis. This book covers seven aspects related to financial economic issues, along with some connected topics. The first covers risk assessment, corporate governance and value creation through an appropriate risk management system. The second covers international investments, market correlation, institutional holdings and market reactions during crisis. The third part is devoted to empirical and quantitative analysis of the observed economics and finance issues. The fourth part is devoted to the role of debt in financial crisis and its impact on financial markets and the world economy. The fifth part is devoted to debt policy, free cash flows and the structure of governance. The sixth part deals with management control and the importance of communication. The last part covers Islamic finance as an alternative to conventional finance for the debt solution, the importance of the energy sector and the role of financial innovations.
Author : Robert McNally
Publisher : Columbia University Press
ISBN 13 : 0231543689
Total Pages : 336 pages
Book Rating : 4.2/5 (315 download)
Download or read book Crude Volatility written by Robert McNally and published by Columbia University Press. This book was released on 2017-01-17 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.
Author : Mr.Rabah Arezki
Publisher : International Monetary Fund
ISBN 13 : 1475572360
Total Pages : 30 pages
Book Rating : 4.4/5 (755 download)
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.
