Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective

Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data

“…It is thus apparent that an increase in oil price uncertainty may have an adverse effect on the economy through the demand channel, as the theory of irreversible investments suggests. Serletis (2009, 2011), Bredin et al (2011), Serletis (2011, 2012), and Bashar et al, (2013) also draws similar conclusions for other G7 countries. Besides this, Rahman and Serletis 2010have used a smooth transition vector autoregressive model to show that an oil price shock reduces the output growth in the USA more in a high oil price volatility regime than a low volatility regime.…”

“…From a policy perspective, oil price volatility clearly impedes economic growth, more so for oil exporters, and hence policymakers in these economies, and in general, should aim to respond by appropriate design of expansionary (monetary) policies in the wake of heightened oil market uncertainty. The fact that the negative influence of oil market volatility on economic activity is weaker in the post-World War II period, seems to provide some support to the above line of reasoning (Bashar et al, 2013), and also possibly because oil market uncertainty has declined over time (Baumeister and Peersman, 2013). Note: */**/*** denote significance at the 10/5/1 per cent level.…”

The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework

“…Phan et al [11] GARCH Energy and financial markets Daily Chen et al [12] SARMA Real estate markets Monthly Ding et al [13] Granger test Energy market Weekly Guesmi and Fattoum [14] DCC-GJR-GARCH Energy and financial markets Monthly Jebabli et al [15] TVP-VAR Energy and financial markets Monthly Karali and Ramirez [16] MGARCH Energy markets Monthly Lin et al [17] A bunch of GARCHs Energy and financial markets Weekly Narayan and Sharma [18] GARCH Energy and financial markets Daily Pesce [19] Panel TVP-VAR Macrofinancial Yearly Reboredo [20] MCARR Carbon and energy markets Weekly Truchis and Keddad [21] Co-integration and Copula Energy market and exchange rate Daily Zhang and Wang [22] Variance Decomposition Crude oil markets Daily Bashar et al [23] Structural VAR Energy and macroeconomy Monthly Ewing and Malik [24] Bivariate GARCH Commodity and energy markets Daily Liu and Chen [25] FIEC-HYGARCH Carbon and energy markets Daily Mensi et al [26] VAR-GARCH Commodity and stock markets daily Uddin et al [27] Wavelet Analysis Energy market and exchange rate Monthly/quarterly Wu and Li [28] BEKK-MGARCH Commodity markets Weekly Narayan and Narayan [29] GARCH Financial market Daily Narayan and Sharma [30] GARCH Energy and financial markets Daily Masih et al [31] Vector error correction Energy markets Monthly 2 But the static spillover table cannot test the statistical significance. 3 It must be noted that spot or future prices of Continental Europe and Japan with enough observations are not available.…”

Oil Price Shocks and Fiscal Spending in Oil Producing Economy: The Role of Asymmetry

“…The first includes those that focus mainly on the impact of oil price changes on macroeconomic fundamentals such as growth, inflation, exchange rates, stock market, among others. This strand of literature is traceable to the major oil price shocks of the 1970s and the subsequent attempts by [3,4] to unravel its macroeconomic consequence (see for example, [4,5,6,7,8] for a review. The second strand of studies tends to investigate the optimal fiscal policy for oil-exporting countries, while the third on the other hand includes studies whose concerns are on how fiscal activities or variables in such economy respond to the changes in oil prices.…”