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| 1 |
ID:
103476
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2011.
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| Summary/Abstract |
As a small open economy, Turkey depends on both imported oil and natural gas, importing almost two-thirds of its primary energy demand. This paper analyzes the economic effects of oil price shocks for Turkey as a small, open oil- and gas-importing country. To analyze the potential long-term effects of oil price shocks on macroeconomic variables of interest, including GDP, consumer price inflation, indirect tax revenues, trade balance, and carbon emissions, we developed TurGEM-D, a dynamic multisectoral general equilibrium model for the Turkish economy. Using TurGEM-D, we analyzed the impact of oil price shocks under three distinct scenarios: reference, high and low oil prices. The simulation results show that these oil prices have very significant effects on macro indicators and carbon emissions in the Turkish economy.
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| 2 |
ID:
150805
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| Summary/Abstract |
This paper investigated the impacts of global oil price shocks on the whole metal market and two typical metal markets: copper and aluminum. We applied the autoregressive conditional jump intensity (ARJI) model, combining with the generalized conditional heteroscedasticity (GRACH) method, to describe the volatility process and jump behavior in the global oil market. We separated the oil price shocks into positive and negative parts, to analyze whether oil price volatility had symmetric impacts on China’s metal markets. We further used the likelihood ratio test to examine the symmetric effect of oil price shocks. In addition, we considered the jump behavior in oil prices as an input factor to investigate how China’s metal markets are affected when jumps occur in the global oil market, in contrast to the existing research paying little attention to this issue. Our results indicate that crude oil price shocks have significant impacts on China's metal markets and the impacts are symmetric. When compared with aluminum, copper is more easily affected by oil price shocks.
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| 3 |
ID:
150893
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| Summary/Abstract |
This paper examines the effects of oil price shocks on the real GDP of the Gulf Cooperation Council (GCC) countries. The empirical method used is the nonlinear cointegrating autoregressive distributed lag (NARDL) model of Shin et al. (2013) in which short-run and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variable(s). The results suggest evidence of asymmetries in all the cases. We find significant positive oil price changes in all the cases with the expected positive sign, implying that increases in oil price lead to increases in real GDP. Conversely, negative oil price changes are significant for only Kuwait and Qatar with the expected positive sign, suggesting that decreases in oil price lead to decreases in their real GDP. Further analysis implemented using panel data shows that positive oil prices changes increase real GDP and negative changes decrease real GDP. Overall, the results suggest that positive oil price changes have a considerably larger impact on real GDP than negative changes.
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| 4 |
ID:
103603
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| Publication |
2011.
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| Summary/Abstract |
The impact of oil price shocks on the macroeconomy has received a great deal of attention since the 1970 s. Initially, many empirical studies found a significant negative effect between oil price shocks and GDP but more recently, empirical studies have reported an insignificant relationship between oil shocks and the macroeconomy. A key feature of existing research is that it applies predominantly to advanced, oil-importing countries. For oil-exporting countries, different conclusions are expected but this can only be ascertained empirically. This study conducts an empirical analysis of the effects of oil price shocks on a developing country oil-exporter-Nigeria. Our findings showed that oil price shocks do not have a major impact on most macroeconomic variables in Nigeria. The results of the Granger-causality tests, impulse response functions, and variance decomposition analysis all showed that different measures of linear and positive oil shocks have not caused output, government expenditure, inflation, and the real exchange rate. The tests support the existence of asymmetric effects of oil price shocks because we find that negative oil shocks significantly cause output and the real exchange rate.
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| 5 |
ID:
149860
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| Summary/Abstract |
We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the volatility of the G7 stock markets. Our results suggest that economic policies and financial regulation activities designed to mitigate the adverse effects of unexpected oil price movements should be designed by looking at the source of the oil price shocks.
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| 6 |
ID:
136211
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| Summary/Abstract |
We investigate the impacts that oil price shocks have on residential consumption in China. While it is well understood that oil prices affect consumption in a multitude of ways, the timing and directness of these effects on specific consumption categories is not clear. We demonstrate that the most immediate and direct effect passes through transportation consumption, as might be expected. But we also show that significant effects pass through consumption in other sectors—including “food and clothes”, “medical expenditure”, and other general “living expenditure”—with less immediacy. Given the results, particularly observed asymmetries with respect to rises and falls in international oil prices, we discuss some implications for future adjustments to domestic price policies, in particular the case for removal of domestic price regulation.
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| 7 |
ID:
097255
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| Publication |
2010.
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| Summary/Abstract |
This paper investigates the relationship between the world oil price and China's macro-economy based on a monthly time series from 1995:1 to 2008:12, using the method of multivariate vector autoregression (VAR). The results show that the world oil price affects the economic growth and inflation of China significantly, and the impact is non-linear. On the other hand, China's economic activity fails to affect the world oil price, which means that the world oil price is still exogenous with respect to China's macro-economy in time series sense, and China has not yet had an oil pricing power in the world oil markets. The structural stability tests demonstrate that there is a structural break in the VAR model because of the reforms of China's oil pricing mechanism, thus it is more appropriate to break the whole sample into different sub-samples for the estimation of the model.
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