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Crude Oil Shocks And Stock Market Returns
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Book Synopsis Crude Oil Shocks and Stock Market Returns by : Babatunde Olatunji Odusami
Download or read book Crude Oil Shocks and Stock Market Returns written by Babatunde Olatunji Odusami and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines whether nonlinear crude oil effect observed in aggregate US stock return can be explained by unexpected shocks from the crude oil market. I separate the distribution of aggregate US stock return into variance component driven by smoothly arriving news information and discrete Poisson news arriving from the crude oil market. I find that unexpected crude oil shocks have nonlinear effect on excess US stock market return. Contemporaneous and lagged returns on crude oil futures have significant negative effect on jump distribution in US stock market returns. I also investigate if the volatility of aggregate US stock return is in any way related to information released at the Organization of Petroleum Exporting Countries (OPEC) meetings. The empirical result reveals no significant feedback effect from OPEC meetings to the US stock markets.
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 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 Crude Oil Shocks and Stock Returns in African Stock Markets by : Precious Adaku Enwereuzoh
Download or read book Crude Oil Shocks and Stock Returns in African Stock Markets written by Precious Adaku Enwereuzoh and published by . This book was released on 2019 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis 6th International Finance Conference on Financial Crisis and Governance by : Mondher Bellalah
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.
Book Synopsis Oil Price Shocks and Stock Market Returns by : Kamrul Huda Talukdar
Download or read book Oil Price Shocks and Stock Market Returns written by Kamrul Huda Talukdar and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book evaluates the size of impact that oil price shocks have on the stock market returns. It also investigates which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks. This study is carried out on 11 countries by applying unrestricted Vector Autoregressive model with Impulse response and Variance decomposition to structure the results and facilitate interpretation.
Book Synopsis NBER Macroeconomics Annual 2001 by : Ben S. Bernanke
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.
Book Synopsis Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models by : Nidhaleddine Ben Cheikh
Download or read book Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models written by Nidhaleddine Ben Cheikh and published by International Monetary Fund. This book was released on 2018-05-09 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.
Book Synopsis How Do Oil Shocks Affect Stock Market Risk by : Yilin Zhang
Download or read book How Do Oil Shocks Affect Stock Market Risk written by Yilin Zhang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent researches have documented some predictability of crude oil prices changes on stock market returns. Using a two-consumption good asset pricing model, I illustrate a mechanism for oil shocks to translate into stock market risk. Using U.S. data, I find supporting evidence that oil price changes have significant effects on the second moments of the stock market returns. Furthermore, I find remarkable time-variation in both the empirical conditional volatilities and correlations. Based on the estimated second moments, I construct the time-varying empirical risk premia. My empirical results combined with the theory shed light on a risk-based explanation for the observed predictability. A preliminary test of this explanation points to the need for more sophisticated modeling of the interactions between oil and stock market risk.
Book Synopsis The Employment and Wage Effects of Oil Price Changes by : Mr.Eswar Prasad
Download or read book The Employment and Wage Effects of Oil Price Changes written by Mr.Eswar Prasad and published by International Monetary Fund. This book was released on 1995-04-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we use micro panel data to examine the effects of oil price changes on employment and real wages, at the aggregate and industry levels. We also measure differences in the employment and wage responses for workers differentiated on the basis of skill level. We find that oil price increases result in a substantial decline in real wages for all workers, but raise the relative wage of skilled workers. The use of panel data econometric techniques to control for unobserved heterogeneity is essential to uncover this result, which is completely hidden in OLS estimates. We find that changes in oil prices induce changes in employment shares and relative wages across industries. However, we find little evidence that oil price changes cause labor to consistently flow into those sectors with relative wage increases.
Book Synopsis Crude Volatility by : Robert McNally
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.
Book Synopsis Irreversibility, Uncertainty, and Investment by : Robert S. Pindyck
Download or read book Irreversibility, Uncertainty, and Investment written by Robert S. Pindyck and published by World Bank Publications. This book was released on 1989 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Irreversible investment is especially sensitive to such risk factors as volatile exchange rates and uncertainty about tariff structures and future cash flows. If the goal of macroeconomic policy is to stimulate investment, stability and credibility may be more important than tax incentives or interest rates.
Book Synopsis Commodity Prices and Markets by : Takatoshi Ito
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
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 Oil Price Shocks and the Equity Market by : Hamid Sakaki
Download or read book Oil Price Shocks and the Equity Market written by Hamid Sakaki and published by . This book was released on 2019 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using monthly returns of ten S&P 500 sectoral indices from January 1990 to January 2015, we examine the impact of demand and supply shocks of oil on the stock market. We confirm that positive shocks to U.S. production of oil and economic activity have a significant and positive influence on stock returns. Moreover, the negative and persistent effect of real oil price shocks on all sectoral indices except energy and utility found by this study. We also examine the impact of oil price volatility on stock returns. Oil price volatility has a negative and significant effect on all industries, even oil-related and oil substitutes. In addition, we get the VAR estimations for the crisis period and find that there is a substantial increase in the role of oil price shocks in the decomposition of stock returns of all sectors. Furthermore, stock returns are better explained by U.S. oil production shocks than other shocks in most sectors over the financial crisis time period. In addition, we find the asymmetric effects of oil shocks are applicable to only two out of ten sectors, implying the effect of oil price return on equity returns only in the energy and utility sectors are not asymmetric.
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 Oil Price Volatility and the Role of Speculation by : Samya Beidas-Strom
Download or read book Oil Price Volatility and the Role of Speculation written by Samya Beidas-Strom and published by International Monetary Fund. This book was released on 2014-12-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
