Dynamic integration and transmission channels among interest rates and oil price shocks

Urom, Christian; Guesmi, Khaled; Abid, Ilyes; Dagher, Leila

doi:10.1016/j.qref.2021.04.008

Cited by 33 publications

(11 citation statements)

References 82 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In addition, they examine the portfolio design as a hedge combining crude oil futures and European bonds. The recent study developed by Urom et al (2022) focuses on the evaluation of the time-varying integration between oil price shocks and interest rates in different economic areas, such as Asia, the US, and the EU. Similar studies, but focusing on Economic and Monetary Union countries, and leading oil producing and consuming countries, are found in Filippidis et al (2020) and Umar et al (2022a), respectively.…”

Section: Connectedness On Bricsmentioning

confidence: 99%

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

Jareño

Escribano

Umar

2023

Humanit Soc Sci Commun

View full text Add to dashboard Cite

This study aims to examine the impact of the different waves of the COVID-19 pandemic on the connectedness of the BRICS (Brazil, Russia, India, China, and South Africa) term structure of interest rates and its components (level, slope and curvature). For that purpose, this research applies the time-varying parameter vector autoregression (TVP-VAR) approach in order to assess the direction of spillovers among countries and factors and measure their contribution to the connectedness system. Our results show that the total connectedness measure changes over time, and the level and curvature components show connectedness that persists longer than the slope component, both in the first wave of the COVID-19 pandemic. Brazil and South Africa would appear as net transmitters of shocks, whereas China and India are net receivers. Finally, the most significant differences in the net dynamic connectedness between transmitters and receivers were focused on before and during the first wave of the COVID-19 pandemic crisis. Some additional impacts were observed during the last waves of the coronavirus pandemic. To our best knowledge, this is the first study on the connectedness between the yield curves of the BRICS economies and the COVID-19 crisis uncertainty according to the coronavirus MCI, by decomposing the yield curve into its factors (level, slope, and curvature).

show abstract

Section: Connectedness On Bricsmentioning

confidence: 99%

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

Jareño

Escribano

Umar

2023

Humanit Soc Sci Commun

View full text Add to dashboard Cite

show abstract

“…Air pollution causes diseases like asthma, acid rain from sulfur dioxide and nitrogen oxides (NO x ) harms plants and fish, and NO x contributes to smog. In addition, oil price plays a major role in the global financial market, which tends to increase when demand exceeds oil supply or production, e.g., Urom et al [ 29 ] found evidence of time variation in the comovement of interest rates and oil shocks; and when the oil price increases because of oil‐specific demand (supply) shocks, the financial markets experience less (increased) stress. [ 30 ] Renewable sources on the other hand are continually renewed by natural sources, and typically have significantly lower lifecycle emissions compared to fossil fuel systems (https://www.nrel.gov/docs/fy21osti/80580.pdf), e.g., renewable energy sources typically emit about 18–80 g or less of CO 2 emissions per kWh over their life cycle, compared to about 1000 g CO 2 /kWh for coal and 475 g CO 2 /kWh for natural gas.…”

Section: Transition To Renewable Energymentioning

confidence: 99%

Enhancing Renewable Energy Systems, Contributing to Sustainable Development Goals of United Nation and Building Resilience Against Climate Change Impacts

et al. 2023

View full text Add to dashboard Cite

Climate change impacts due to unprecedented rising concentrations of greenhouse gas (GHG) are intensifying and widespread, making extreme climate events more widespread, frequent, and severe. To mitigate the worst consequences of climate warming, in this study we investigated how the global community can collectively achieve a large‐scale, sustained reduction in GHG emissions, and how to effectively move away from a predominantly fossil fuel‐based economy to one dominated by renewable energy? This transition is necessary to achieve the sustainable development goals (SDG) of United Nations (UN) to ensure resilient and healthy environment for present and future generations, especially the SDG7 of UN, 'Affordable and Clean Energy', set up to achieve global development of modern renewable energy systems. Investment policies and patterns of developed and developing countries in transitioning to energy productions primarily from renewable sources and obstacles such as scale‐up challenges, innovations in new energy systems, policies, financing mechanisms, and implementation strategies are examined. Furthermore, a comprehensive overview of the present global status of hydropower, wind and solar, the three most significant renewable electricity technologies, as well as their basic operating principles, costs, and potential is conducted. Hydroelectric, wind and solar power had grown from 3429, 346 and 34 TWh yr‐1 in 2010 to 4274, 1598 and 846 TWh yr‐1 in 2020, a growth of about 1.25, 4.60, and 24.9 times in a decade, respectively. Strategies to achieve energy systems that are of or near net zero GHG emissions by 2050s through the deployment of renewable energy systems are also investigated.This article is protected by copyright. All rights reserved.

show abstract

“…Selanjutnya, saluran permintaan domestik ini juga akan menyebabkan efek sebaliknya di negara-negara mitra yang mengikuti kondisi mereka yang ditetapkan oleh saluran nilai tukar. Mengingat bahwa pelonggaran kebijakan moneter domestik dapat meningkatkan konsumsi dan investasi di negaranya, menyebabkan peningkatan impor oleh negara sumber dan peningkatan ekspor di negara mitra (Urom et al, 2021).…”

Section: Teori Dan Hipotesisunclassified

Pengaruh Harga Minyak Dunia, Kestabilan Politik Dan Suku Bunga Terhadap Nilai Tukar Di Indonesia

Hesniati

Kalimah

Nanto

et al. 2022

JMM

View full text Add to dashboard Cite

This study discusses the relationship between world oil prices, political stability and interest rates on exchange rates in Indonesia which is analyzed using monthly time series data for 2010-2020 and processed using the E-Views application and tested with multiple linear regression. After research, it was found that world oil prices have a negative and significant effect on the exchange rate, political stability has a positive and significant effect on the exchange rate, while interest rates have no significant relationship with the exchange rate. Meanwhile, based on the results of the tests carried out, the variables of world oil prices, political stability and interest rates have a proportion of 56% in explaining the exchange rate as the dependent variable, while the remaining 44% is influenced by other variables outside of this research variable. Investors and international economic actors must be able to paying attention to world oil prices and political stability in predicting changes in exchange rates. The government as a policy maker have to maintain crude oil supplies, maintain political stability, and control interest rates to maintain exchange rates stability

show abstract

Dynamic integration and transmission channels among interest rates and oil price shocks

Cited by 33 publications

References 82 publications

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

Enhancing Renewable Energy Systems, Contributing to Sustainable Development Goals of United Nation and Building Resilience Against Climate Change Impacts

Pengaruh Harga Minyak Dunia, Kestabilan Politik Dan Suku Bunga Terhadap Nilai Tukar Di Indonesia

Contact Info

Product

Resources

About