Dynamic Relationship Between Oil Price And Inflation In South Africa

Balcılar, Mehmet; Uwilingiye, Josine; Gupta, Rangan

doi:10.1353/jda.2018.0023

Cited by 23 publications

(14 citation statements)

References 26 publications

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“…This is because there could be specific periods associated with heightened uncertainties due to the outbreak of various infectious diseases, where we might end up with signs of these responses that are different from the average estimates. To this end, we obtain the underlying median estimate of the DCC, along with the 95% confidence bands, based on a Bayesian estimation as outlined in detail in Balcilar et al (2018). 3 The results are reported in Figure 4, with panels (a),…”

Section: Resultsmentioning

confidence: 99%

Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

Gupta

Subramaniam

Bouri

et al. 2021

International Review of Economics & Finance

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Using daily data from November 1985 to July 2020, we analyse the impact of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) on the level, slope and curvature factors derived from the term structure of interest rates of the US covering maturities of 1 year to 30 years. Results from nonlinearity and structural break tests indicate the misspecification of the linear causality model and point to the suitability of applying a time-varying model that is robust to misspecification due to nonlinearity and regime change. We thus use a dynamic conditional correlation-multivariate generalised autoregressive conditional heteroskedasticity (DCC-MGARCH) framework and the results indicate significant predictability of the three latent factors from the EMVID index at each point of the entire sample, and also provide evidence of instantaneous spillover. Finally, we comprehensively determine the safe-haven characteristic of the US Treasury market by analysing the signs of the underlying time-varying conditional correlation between the level, slope and curvature factors and the EMVID index. Results show that US treasuries with longterm maturities as captured by the level factor are consistently negatively correlated with the EMVID index, i.e., they act as a safe-haven, with the slope factor (medium-term maturities) following this trend since 2007, and the slope factor (short-term maturities) also showing signs of a safe-haven since May of 2020. Overall, the findings provide reasonable evidence to imply that US Treasury securities can hedge the risks associated with the financial market in the wake of the current COVID-19 pandemic.

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Section: Resultsmentioning

confidence: 99%

Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

Gupta

Subramaniam

Bouri

et al. 2021

International Review of Economics & Finance

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“…The data on NEER, IPI and IRATE are sourced from the DataStream. Following Balcilar, Uwilingiye, and Gupta (2018) and Balcilar, Van Eyden, Uwilingiye, and Gupta (2017), we convert the series into their natural logarithms. The natural logarithm of a series helps removing non-linear functional form and ensures stability of the variance.…”

Section: Data and Preliminary Analysismentioning

confidence: 99%

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

2020

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One of the central issues within the framework of the new open-economy macroeconomic models is the pass-through of exchange rate to prices. This issue is largely triggered by persistent high volatility in terms of exchange rates between countries following the collapse of the Bretton Woods system of adjustable peg in the 1970s. Essentially, the issue has demonstrated a vastly increased risk to achieving the monetary policy goal of low and stable inflation levels especially during periods of greater openness, characterised by a significant change in exchange rate and trade policies (see Balcilar,

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“…From the setup, we can see the important role T played in the common decomposition. Since X and Y are independent, T is the one relevant to the dependency structure of (B, W) in the decomposition triple (in the case of 3 The second part of Z is obviously well defined. Consider the first part…”

Section: Some Discussion On Tmentioning

confidence: 99%

“…There is a short review of literatures rejecting constant correlation before the 2008 crisis in Buraschi et al 2010, and the authors themselves studied the joint correlation of stock index around the crisis. Other empirical evidences include Chiang et al 2007 finding a significant increasing for correlations between Asian market after the crisis, Syllignakis and Kouretas 2011 and Junior and Franca 2012 getting similar results for the European and global markets, Xiong et al 2018 for time-varying correlation between policy index and stock return in China and Balcilar et al 2018 for dynamic correlation between oil price and inflation in South Africa.…”

Section: Introductionmentioning

confidence: 90%

Common Decomposition of Correlated Brownian Motions and its Financial Applications

Chen,

Cheng,

Yang

2019

Preprint

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In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triple of processes, (X, Y, T), where X and Y are independent Brownian motions. We show the equivalent conditions for the triple being independent. We discuss the connection and difference of the common decomposition with the local correlation model. Indicated by the discussion, we propose a new method for constructing correlated Brownian motions which performs very well in simulation. For applications, we use these very general results for pricing of two-factor financial derivatives whose payoffs rely very much on the correlations of underlyings. And in addition, with the help of numerical method, we also make a discussion of the pricing deviation when substituting a constant correlation model for a general one.

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Dynamic Relationship Between Oil Price And Inflation In South Africa

Cited by 23 publications

References 26 publications

Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

Common Decomposition of Correlated Brownian Motions and its Financial Applications

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