A closer look into the global determinants of oil price volatility

Chatziantoniou, Ioannis; Filippidis, Michail; Filis, George; Gabauer, David

doi:10.1016/j.eneco.2020.105092

Cited by 81 publications

(24 citation statements)

References 80 publications

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“…Holding other things constant, a unit increase in interest rates will result in a 0.891129 unit increase in oil prices in South Africa. The findings are in line with Chatziantoniou et al (2021), who demonstrated a positive impact of interest rates on oil price changes. However, theoretically it is expected that an increase in interest rates as a result of a contractionary monetary policy can deteriorate the long-term output and consequently decreased investment (Tang et al, 2009).…”

Section: Garchsupporting

confidence: 90%

“…However, in the long-run an insignificant effect of money supply on oil prices was observed. Chatziantoniou et al (2021) investigated the determinants of oil price volatity using the TVP-VAR model for the years 1990 to 2019. The independent variables included oil supply, global economic activity, global oil inventory, financial markets volatility, interest rates and exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

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An empirical analysis of volatility in South African oil prices

Mofema

Mah

2021

J. energy South. Afr.

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Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were conducted. The GARCH (1,2) model was the best fit, based on the Alkaike information criterion. The result revealed that interest rates and money supply growth have a significant positive effect on oil price changes in South Africa, while growth in GDP per capita and inflation has an insignificant impact. Past one and two-quarters’ oil price volatility increases and decreases the current oil price volatility respectively. Based on the findings, a contractionary monetary policy is recommended in order to reduce the volatility of South African oil prices.

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Section: Garchsupporting

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

An empirical analysis of volatility in South African oil prices

Mofema

Mah

2021

J. energy South. Afr.

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“…Furthermore, multivariate random fluctuations can reflect the possible heteroscedasticity and the TVP-VAR model can capture the different economic conditions (Esmaeili & Rafei, 2021 ). The introduction of time-varying parameters improves the fitting accuracy of the model and increases the explanatory power of the model (Chatziantoniou et al, 2021 ; Gong et al, 2021 ; Gu et al, 2021 ). Chatziantoniou et al ( 2021 ) provide evidence that TVP-VAR model is more reliable during severe episodes of declining economic activity.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The introduction of time-varying parameters improves the fitting accuracy of the model and increases the explanatory power of the model (Chatziantoniou et al, 2021 ; Gong et al, 2021 ; Gu et al, 2021 ). Chatziantoniou et al ( 2021 ) provide evidence that TVP-VAR model is more reliable during severe episodes of declining economic activity. Gong et al ( 2021 ) confirm the advantages of TVP-VAR in analyzing dynamic correlation between variables.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

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“…A second explanation is that the resource-rich cities have limited innovation activities and a fixed industrial structure; thus, R&D investment has a minor impact on fostering technical innovation while fiscal spending has a huge impact on upgrading the industry. Hence, it is assumed that companies are now dealing with credit constraints (Chatziantoniou et al 2021 ). Enterprises may borrow money from the banking system to cover the gross and net expenses of the green economy.…”

Section: Discussionmentioning

confidence: 99%

Nexus between fiscal imbalances, green fiscal spending, and green economic growth: empirical findings from E-7 economies

Fang

Chang

2022

Econ Change Restruct

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The green economy is viewed as a cost-effective means of achieving sustainability around the globe, and a recent study inferred the nexus between the fiscal imbalances and green economic growth based on E-7 economies data. This paper attempts to answer how green fiscal spending ensures green economic growth and stabilizes fiscal imbalances in E-7 economies. The study findings highlighted the mechanism and viability of green fiscal spending for fiscal imbalances and green economic growth. More specifically, results showed that green fiscal spending extends green economic growth in Brazil with 30%, in China with 44%, in India with 11.8%, in Indonesia with 34%, Russia with 29.7%, and Turkey with 22.4%, respectively. Based on the findings, the following are our recommendations: (i) local governments should rebalance their fiscal budgets and invest more on public goods to assess local sustainable development, and (ii) several development initiatives specific to the local level should be employed to maximize fiscal spending.

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A closer look into the global determinants of oil price volatility

Cited by 81 publications

References 80 publications

An empirical analysis of volatility in South African oil prices

An empirical analysis of volatility in South African oil prices

Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

Nexus between fiscal imbalances, green fiscal spending, and green economic growth: empirical findings from E-7 economies

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