Oil Prices, Exchange Rates and Interest Rates

Kilian, Lutz; Zhou, Xiaoqing

doi:10.2139/ssrn.3731015

Cited by 5 publications

(4 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…(). The causality may not even be uni‐directional: Kilian and Zhou () find evidence that exchange rate shocks may cause oil price changes, in addition to the inverse case. Recent work by Kunkler and MacDonald () shows an underlying positive relationship between the Canadian dollar and the price of oil when accounting separately for the value of the US dollar.…”

mentioning

confidence: 99%

Leave it in the ground? Oil sands development under carbon pricing

Bošković

Leach

2020

Canadian J of Economics

View full text Add to dashboard Cite

We evaluate the impact of internalizing the carbon emissions externality on new oil sands projects. Using data from recent oil sands projects and estimates of both the social costs of carbon and carbon prices consistent with meeting global climate change targets, we estimate the potential impact of action on climate change on the economic viability of oil sands investments. Our results indicate that oil sands are a marginal resource before they incur any carbon costs. Incorporating carbon costs, we find that the viability of oil sands depends on the coverage of carbon pricing across the life cycle emissions from oil sands and on the equilibrium incidence of carbon prices on producers. We show an important interaction between resource royalties and carbon charges that implies that the impact carbon pricing depends on not only the stringency and coverage of the carbon price but also its point of application of a carbon price. Finally, we explore the potential for technological change to mitigate the impacts of carbon pricing on oil sands investment viability.

show abstract

mentioning

confidence: 99%

Leave it in the ground? Oil sands development under carbon pricing

Bošković

Leach

2020

Canadian J of Economics

View full text Add to dashboard Cite

show abstract

“…12 See e.g. (in on ex); ManeraG7; Kilian and Xiaoqing [2019] takes the value of 1 when c t−d > γ and 0 otherwise. A 1 and A 2 reflect the structural contemporaneous relationships in the two regimes.…”

Section: Methodsmentioning

confidence: 99%

Oil Price Shocks and Economic Growth in Oil-Exporting Countries

Ahmadi

Manera

2021

SSRN Journal

View full text Add to dashboard Cite

The aim of this paper is to investigate how major net oil exporter economies react to oil price shocks. We contribute to the literature by considering, at the same time, the possible nonlinearity and asymmetry of this relationship with respect to sign, size and causes of the oil price shocks, as well as the state of the economy in which the shocks occur. We apply a Threshold Structural VAR approach, characterized by a separation of the observations into different regimes based on a threshold variable, to model time series non-linearities. We use the economic activity as the threshold variable, as it divides economic development in two regimes under which we expect the effects of oil price shocks to differ. First, We find that the effects of oil price shocks on oil exporting economies greatly depend on the underlying cause of the shocks as well as the state of the economy. Second, we find little evidence of asymmetric response of output to the sign of oil price shocks. Our main findings warn decision makers in the area of macroeconomic planning that, when making decisions based on the oil price, the underlying causes of its variations as well as the state of the economy in which the oil price shocks occur have to be considered.

show abstract

“…Firstly, the US economy is bigger than the EU's, which implies that it is relatively less vulnerable to oil price changes (Sartore et al 2002). Secondly, the US and the EU can be treated as an exporter country and an importer country, respectively, which determines the terms of trade between them (Fratzscheret al 2014;Kilian and Zhou 2020). When the US gas production goes up, the USD appreciates and American gas exporters post bigger profits.…”

Section: Hypotheses On Gas Price Formation Mechanismmentioning

confidence: 99%

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Moenke

Welfe

2022

Jahrbücher Für Nationalökonomie Und Statistik

View full text Add to dashboard Cite

Presented analysis of gas price formation mechanism in Germany was prompted by changes brought about by technological advancements and the liberalization and harmonization of natural gas markets in the European Union after the year 2000. Because the data used in the study is generated by nonstationary stochastic processes, the cointegrated vector autoregressive model was applied as the most appropriate. The analysis pointed out that the price of natural gas, oil and the USD/EUR exchange rate influence each other in the long run and thus should be modelled together. Gas price in Germany is driven by both fundamental and financial factors, and so it rises with economic expansion, oil price increases, and the depreciation of the USD. It also reacts to changes in short-term interest rates and the volume of gas production in the US, which confirms that the shale revolution in this country has been consequential for gas prices in Europe, like any other supply shock would have been.

show abstract

Oil Prices, Exchange Rates and Interest Rates

Cited by 5 publications

References 37 publications

Leave it in the ground? Oil sands development under carbon pricing

Leave it in the ground? Oil sands development under carbon pricing

Oil Price Shocks and Economic Growth in Oil-Exporting Countries

A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Contact Info

Product

Resources

About