The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach

Rahman, Sajjadur; Serletis, Apostolos

doi:10.1016/j.eneco.2010.06.003

Cited by 82 publications

(31 citation statements)

References 32 publications

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“…The impulse responses are calculated using a methodology described by Rahman and Serletis (2010), which in turn is derived from Koop, Pesaran and Potter (1996). A GIRF is computed as the difference between the responses of the forecast of selected variables to a one-time shock, compared to a baseline (no-shock) scenario:…”

Section: Data Data Data Datamentioning

confidence: 99%

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

Balcılar

Thompson

Gupta

et al. 2016

Journal of International Financial Markets, Institutions and Mo

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Abstract AbstractThe negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables to test whether the South African economy responds in a nonlinear and asymmetric way to unexpected changes in financial conditions. To this end, we make use of a nonlinear logistic smooth transition vector autoregressive model (LSTVAR), which allows for a smooth evolution of the economy, governed by a chosen switching variable between periods of high and low financial volatility. We find that the South African economy responds nonlinearly to financial shocks, and that manufacturing output growth and Treasury Bill rates are more affected by financial shocks during upswings. Inflation responds significantly more to financial changes during recessions.

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Section: Data Data Data Datamentioning

confidence: 99%

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

Balcılar

Thompson

Gupta

et al. 2016

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

show abstract

“…Several studies, including Weise (1999), Ravn and Sola (2004), have found that the response of output (and hence income) is asymmetric in monetary expansions and contractions. Rothman (1991), and Skalin and Terrasvirta (2002) have documented asymmetries in U.S. ISSN 1948-5433 2013 unemployment rates, while Rahman and Serletis (2010) find that oil price shocks have asymmetric effects on macroeconomic variables. We acknowledge that the results in this paper are subject to the assumption that monetary expansions and contractions, and oil supply increases and decreases have symmetric effects on state economies.…”

Section: Research In Applied Economicsmentioning

confidence: 99%

The Response of U.S. States to Exogenous Oil Supply and Monetary Policy Shocks

Atems

Lam²

2013

RAE

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We make use of new methodological advances in quantifying oil supply and monetary policy shocks that are exogenous with respect to macroeconomic conditions to examine the response of state economies to these shocks. Our approach is parsimonious and straightforward: once exogenous oil supply shocks and monetary policy shocks have been identified, the dynamic response of state economies to exogenous shocks can be analyzed directly using ordinary least squares (OLS) and other conventional methods of inference. The fact that no identifying assumptions are required makes our findings invariant to different identification schemes. Results indicate that an exogenous monetary policy shock typically causes a decrease in real personal income. The paper also documents a fair degree of similarity in the response of real personal income to exogenous oil supply across many states. Like the aggregate response, following an exogenous oil supply shock, real personal income decreases in many states.

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“…For the transportation and logistics sector, in such a perspective, the resource availability of crude oil is of especially high importance as, in spite of many technology advances and political initiatives regarding the use of electric and liquefied natural gas (LNG) or other alternative propulsion systems, the diesel engine will still be a major element of transportation for at least 50 years to come [73][74][75]. Alas, transportation and logistics companies such as airlines will depend heavily on the availability and price development of crude oil as far as their economic value and Sustainability 2017, 9, 842 6 of 33 EBIT-The yearly corporate profit sustainability are concerned [76,77]. Regarding this economic dimension in the proposed efficiency development analysis conducted herein, the following two output types are used as indicators:as measured by the earnings before interest and tax (EBIT) standardized figure in corporate reporting [78,79].…”

Section: Economic Sustainabilitymentioning

confidence: 99%

“…Sustainability 2017, 9, 842 6 of 31 as airlines will depend heavily on the availability and price development of crude oil as far as their economic value and ■ EBIT-The yearly corporate profit sustainability are concerned [76,77]. Regarding this economic dimension in the proposed efficiency development analysis conducted herein, the following two output types are used as indicators:as measured by the earnings before interest and tax (EBIT) standardized figure in corporate reporting [78,79].…”

Section: Social Sustainabilitymentioning

confidence: 99%

Do Forwarders Improve Sustainability Efficiency? Evidence from a European DEA Malmquist Index Calculation

Klumpp

2017

Sustainability

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Sustainability performance and efficiency is an important topic in transportation and for forwarders. This is shown, for example, by the fact that major logistics service providers LSP publish sustainability reports, often within the annual legal business report. However, in depth research is missing regarding the efficiency of forwarders regarding the established triple bottom line approach for sustainability, including economic, social, and ecology performance areas. This is especially true for a dynamic time-series perspective, as usually only static analyses for one point in time are presented (in most cases single business years). Therefore, the operations research technique of a data envelopment analysis (DEA) Malmquist index calculation is used in order to provide a longitudinal calculation of efficiency, incorporating multiple objectives regarding the triple bottom line approach for European forwarders. Several indicators are tested, including total revenues and assets as input types, profit (EBIT) and dividend volume (economic dimension), employment and gender equality in management (social), and carbon-equivalent emissions (environmental) as output types.

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The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach

Cited by 82 publications

References 32 publications

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach

The Response of U.S. States to Exogenous Oil Supply and Monetary Policy Shocks

Do Forwarders Improve Sustainability Efficiency? Evidence from a European DEA Malmquist Index Calculation

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