Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model

Rahman, Sajjadur; Serletis, Apostolos

doi:10.1016/j.eneco.2011.08.014

Cited by 113 publications

(48 citation statements)

References 20 publications

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“…Recently, Elder and Serletis (2010) found that increased uncertainty about oil price changes causes a significant drop in real output and heavily affects measures of durable consumption and fixed investment in the United States. Their finding is also confirmed by Rahman and Serletis (2012) for the Canadian economy. In fact, oil price volatility represents an important input for macroeconometric models (cf.…”

Section: Introductionsupporting

confidence: 82%

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Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data

2016

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Registro de acceso restringido Este recurso no está disponible en acceso abierto por política de la editorial. No obstante, se puede acceder al texto completo desde la Universitat Jaume I o si el usuario cuenta con suscripción. Registre d'accés restringit Aquest recurs no està disponible en accés obert per política de l'editorial. No obstant això, es pot accedir al text complet des de la Universitat Jaume I o si l'usuari compta amb subscripció. Restricted access item This item isn't open access because of publisher's policy. The full--text version is only available from Jaume I University or if the user has a running suscription to the publisher's contents.

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Section: Introductionsupporting

confidence: 82%

“…Wang et al, 2012;Rahman and Serletis, 2012). How oil price shocks may affect economic growth is welldocumented in a large body of research.…”

Section: Introductionmentioning

confidence: 99%

Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data

2016

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“…Volatility studies focusing on energy markets include Rahman and Serletis () who examine the effects of oil price uncertainty on real economic activity in Canada using a bivariate vector autoregression moving‐average (VARMA), GARCH‐in‐Mean, asymmetric (BEKK‐GARCH) model specification. The conditional variance–covariance process underlying output growth and the crude oil price changes is characterized by significant nondiagonality and asymmetry.…”

Section: Previous Literaturementioning

confidence: 99%

Asymmetric price volatility transmission between food and energy markets: The case of Spain

Abdelradi

Serra

2015

Agricultural Economics

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The proportion of agricultural production that is being transformed into biofuels has been growing worldwide over the last decade. This has spurred the food versus fuel debate. This article aims at shedding light on this issue by studying price volatility relationships between food and biofuel prices in Spain. We use an asymmetric MGARCH model to evaluate volatility spillovers between the Spanish biodiesel blend and refined sunflower oil prices. Empirical results confirm that there are bidirectional and asymmetric volatility spillovers between these two prices.JEL classifications: C13, Q10, Q43

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“…Yet, an increase in the oil price causes a drop in productivity, which is passed on to (i) real wages and employment; (ii) selling prices and core inflation; (iii) profits and investment, as well as stock market capitalization. The previous literature has widely investigated the relationship between oil prices and economic growth (Ferderer, 1996;Hamilton, 2003Hamilton, , 2008Kilian, 2008a;Elder and Serletis, 2010;Rahman and Serletis, 2012). This link can be understood via the classic supply-side effect according to which rising oil prices are indicative of the reduced availability of a basic input to production, leading to a reduction of potential output.…”

Section: Introductionmentioning

confidence: 99%

Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies

2015

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The aim of this paper is to investigate oil price shocks' effects and their associated transmission channels on global imbalances. To this end, we rely on a Global VAR approach that allows us to account for trade and financial interdependencies between countries. Considering a sample of 30 oil-exporting and importing economies over the 1980-2011 period, we find that the nature of the shock-demand-driven or supply-drivenmatters in understanding the effects of oil price shocks on global imbalances. In addition, we show that the main adjustment mechanism to oil shocks is based on the trade channel, the valuation channel being at play only on the short run.JEL Classification: C32, F32, Q43.

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Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model

Cited by 113 publications

References 20 publications

Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data

Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data

Asymmetric price volatility transmission between food and energy markets: The case of Spain

Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies

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