Oil prices and economic activity in BRICS and G7 countries

Kılıç, Erdem; Çankaya, Serkan

doi:10.1007/s10100-019-00647-8

Cited by 19 publications

(10 citation statements)

References 32 publications

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“…A renewed repetitive comparison of the current global economic power (G7) with BRICS nations in economic, social, and political aspects is customary in the existing academic literature (Mahmood, 2015; Singhania & Saini, 2018). The G-7 countries are considered global leaders of the modern economic era, who are incessantly challenged by the BRICS in the economic and financial performance (Kilic & Cankaya, 2020;Shahrokhi et al, 2017). Since after Russia left as the member of G-7 in 2015, there are no common members in BRICS and G-7, as they became ideal competitors for comparative evaluation as economic groups (Song et al, 2019;Wang et al, 2020;Yang et al, 2018;Zhang et al, 2013).…”

Section: G-7 Vs Bricsmentioning

confidence: 99%

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Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Ledwani

Chakraborty

Shenoy

2021

Investment Management and Financial Innovations

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The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.

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Section: G-7 Vs Bricsmentioning

confidence: 99%

“…BHAR in the event window(15)(16)(17)(18)(19)(20)(21)(22)(23)(24)(25)(26)(27)(28)(29) for G-7 and BRICS…”

mentioning

confidence: 99%

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Ledwani

Chakraborty

Shenoy

2021

Investment Management and Financial Innovations

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“…As a significant contributor to essentially all economic activities, crude oil price fluctuations also play an indispensable role in inflation (Prat and Uctum 2011). Although the nexus between oil price and inflation has been investigated for decades, the measured outcomes have yielded mixed and inconsistent results (Kilic and Cankaya 2019). Today, it is generally acknowledged that crude oil price variations pass through to inflation at least in part (Edelstein and Kilian 2009).…”

Section: Introductionmentioning

confidence: 99%

The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model

Guo

2021

Applied Economics

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This study investigates the asymmetric impacts of oil price and component shocks on inflation in the context of BRICS countries. We firstly decompose the oil price change into supply, demand and risk shocks and subsequently establish an empirical framework to explore asymmetric passthrough using a novel multiple threshold nonlinear autoregressive distributed lag model (MTNARDL). The extended model yields precise asymmetric estimates by splitting oil price change and disaggregated shocks into different partial sums. Our results reveal that significant asymmetries between oil price and inflation are only exhibited in China in the short run, suggests that inflationary effect is more dramatic when oil price decreases. For the supply shocks, strong asymmetries are found in Russia and China in the short term and in South Africa in the long term. Meanwhile demand shocks and risk shocks hold either nil asymmetry or weak, in most cases risk shocks have the weakest effect on inflation and the influence fading fast, demand shocks only exert impact temporarily during extreme fluctuation. Nonetheless, asymmetries are most important and significant at the highest and lowest quintiles. Considering the empirical results, this study provides some policy implications for policymakers and investors.

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“…Since the money supply is controlled by the monetary authorities of both countries, this is mostly explained by local rather than international factors. It is for this reason that most scholars preclude the money supply from their studies (Kilic & Cankaya, 2020;Ben Lalouna & Pearlman, 2018).…”

Section: Reaction To Oil Price Shocksmentioning

confidence: 99%

The impact of world oil and food price shocks on the interdependence of Brazil and Russia: SVAR-DCC-GARCH model

Bhebhe

Ndlovu

2021

BJE

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This study seeks to identify the extent to which global oil and food price volatilities affected the interdependence of the Brazilian and Russian economies in the period from 1996 to 2021. The ARCH/GARCH framework was used to model the volatility of oil and food prices. The Structural Vector Autoregressive (SVAR) approach was used to ascertain the sensitivity of key economic indicators to oil and food shocks. The Impulse Response Function (IRF) was used to trace short-term effects over a period of 12 months. Subsequently, the multivariate dynamic conditional correlation DCC-GARCH model, created by Engle & Sheppard (2001), was used to model time-varying correlations of paired macroeconomic variables. This study contributes to the empirical literature in two fundamental ways. Firstly, it pairs the two largest oil and food producers in the BRICS bloc. Secondly, unlike some earlier studies, the applied methodology ensures the effectiveness of the results by using stationary time series data. The results show that Brazil and Russia have long-run spillover effects for all macroeconomic variables in response to both oil and food price shocks. Furthermore, money supply and exchange rate variables exhibited declining positive correlation coefficients during the global financial crisis of 2008–2009, but peaked in early 2020 due to the Covid-19 pandemic. As a corollary of the main findings, the researchers recommend that investors should diversify their portfolios beyond these two economies in order to minimize the risk of contagion during severe global crises.

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Oil prices and economic activity in BRICS and G7 countries

Cited by 19 publications

References 32 publications

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model

The impact of world oil and food price shocks on the interdependence of Brazil and Russia: SVAR-DCC-GARCH model

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