Author: Danilo Pavlićević
Publisher:
ISBN:
Category : Economic policy
Languages : en
Pages : 0
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Book Description
Ever since crude oil became a lifeline to the world economy, there is no doubt that oil is the most traded commodity in the world’s stock markets. There have been numerous articles and research papers written about the relationship between oil prices and stock markets, and the correlation between the two. Vast majority of them have shown that there is a correlation between them, and that changes in one affect the other. However, very few have examined the determinants of co-movements between oil prices and stock markets using a vector autoregressive (VAR) model. This thesis examines determinants of co-movements between three oil importing countries stock market indices, as well as three oil exporting countries stock indices and the crude oil prices. What makes this study relevant is that it is not only examining stock indices of randomly selected countries, but it shows indices of three chosen oil importing and oil exporting countries. For the purpose of this research the oil importing countries used to demonstrate the effects in changes in determinants of co-movements between oil prices and stock markets are USA, China, and Germany. Each is chosen to represent certain parts of the world. For the oil exporting countries, we excluded countries whose entire GDP or at least huge portion of it, is only consistent of oil exports. Therefore, Norway, the European largest oil exporter, Russia, the world's second largest oil exporter, and Canada, largest North American oil exporter, are taken in order to reflect the effects of changes in determinants of co-movements in their respective stock markets. Economic policy uncertainty Index (EPU), Geopolitical Risk Index (GPR), the exchange rate between US dollar and all the other countries’ currencies. These are the factors affecting both oil prices and stock markets. EPU Index shows how often do national newspaper articles in a certain country write about issues pertaining to the economy uncertainty and policy-related matters. When it comes to GPR Index, it is based on measuring the frequency of words related to geopolitical tensions in leading international newspapers. The US dollar is the world’s most important currency; therefore, all the other countries in the world strive to maintain steady exchange rate between the US dollar and currencies of their own. By using vector autoregressive (VAR) model, this study will show the effects of each determinant on stock markets of US, Germany, China, Russia, Norway, and Canada.
Author: Ramazan Gençay
Publisher: Elsevier
ISBN: 0080509223
Category : Business & Economics
Languages : en
Pages : 383
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Book Description
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Author: Sakib Bin Amin
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
The link between stock market prices and oil prices has drawn considerable attention in recent decades because the risk and uncertainties associated with oil price volatility affect investor's portfolios, particularly, those investors seeking to make optimal portfolio allocations. This paper investigates the relationship between the oil price and the stock market index in South Asia. Based on a sample of four countries, namely Bangladesh, India, Pakistan, and Sri Lanka for the period 1997-2017, we use the nonlinear Autoregressive distributed model estimated by Pooled Mean Group (PMG) estimator. We show that there is a positive relationship between the world oil price and stock market index; and that the response of stock market index to positive and negative oil price shocks are asymmetric. Counter to prior research in developing countries, our findings imply that higher oil prices in the world market stimulate stock prices which suggests that the stock markets in the South Asian region do not follow the Efficient Market Hypothesis (EMH) for which the shocks in the crude oil market are not rationally signaled in the financial market. Another plausible justification of this movement in the same direction, as explained by Bernanke (2016), is that both oil price and stock prices are reacting to a change in some common underlying factor, which he calls the global aggregate demand and market risk aversion.
Author: C. S. Burrus
Publisher: Pearson
ISBN:
Category : Mathematics
Languages : en
Pages : 294
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Book Description
Advanced undergraduate and beginning graduate students, faculty, researchers and practitioners in signal processing, telecommunications, and computer science, and applied mathematics. It assumes a background of Fourier series and transforms and of linear algebra and matrix methods. This primer presents a well balanced blend of the mathematical theory underlying wavelet techniques and a discussion that gives insight into why wavelets are successful in signal analysis, compression, dection, numerical analysis, and a wide variety of other theoretical and practical applications. It fills a gap in the existing wavelet literature with its unified view of expansions of signals into bases and frames, as well as the use of filter banks as descriptions and algorithms.
Author: Samya Beidas-Strom
Publisher: International Monetary Fund
ISBN: 1498303846
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
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.
Author: Hyginus Leon
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
We use data on realized volatility to establish co-movement in volatility on the Saudi Arabian and Kuwaiti stock exchanges. We show, in addition, that the probability of positive and negative co-movement are related to the volatility of international equity prices and volatility of oil prices.
Author: François M. Longin
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 44
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Book Description
Author: Robert McNally
Publisher: Columbia University Press
ISBN: 0231543689
Category : Business & Economics
Languages : en
Pages : 336
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Book Description
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. Kangni R Kpodar
Publisher: International Monetary Fund
ISBN: 1616356154
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
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: Bhaskar Bagchi
Publisher: Emerald Group Publishing
ISBN: 1786355531
Category : Business & Economics
Languages : en
Pages : 225
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Book Description
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.
