The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies

Anderl, Christina; Caporale, Guglielmo Maria

doi:10.2139/ssrn.4359382

Cited by 2 publications

(1 citation statement)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…(Almajali and Almubidin, 2022) in their exploration of Jordanian monetary policy, found limited but significant impacts on inflation and the output gap, with a pronounced effect on foreign reserves covering crucial imports. (Anderl and Caporale, 2023) extended this discourse by introducing the concept of asymmetric impact, emphasizing economic policy uncertainty (EPU) and oil price uncertainty (OPU). Their Nonlinear ARDL model revealed larger effects of EPU and OPU shocks when accounting for asymmetries.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model

Adailah,

Al-Damour,

Al-Majali

2024

IJEEP

View full text Add to dashboard Cite

The central aim of this study is to evaluate the repercussions of global energy price fluctuations on the pricing of local oil derivatives in Jordan, and their subsequent impact on domestic price levels. This research seeks to propose risk mitigation strategies to address the challenges posed by energy price volatility, offering valuable insights for Jordanian policymakers. Given the dearth of understanding among policymakers and industry stakeholders regarding the economic ramifications of global energy prices on local markets, this study posits a statistically significant relationship, at a 5% significance level, between global energy prices, local oil derivative prices, and the prices of commodities and services. To investigate these dynamics, the study employs a DCC-GARCH (Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity) model, utilizing monthly data spanning from Jan:2008 to Mar:2022, encompassing global energy prices, local energy prices, and the consumer price index. The study's findings reveal that fluctuations in global oil prices, specifically the Brent benchmark, have a discernible impact on local oil derivative prices in Jordan. However, the reverse causal relationship is not supported, indicating a unidirectional link from oil prices to oil derivatives. The estimated DCC-GARCH model further quantifies this connection, demonstrating that a 1% increase in Brent oil prices corresponds to a 0.21% increase in local oil derivative prices within Jordan. Moreover, a 1% uptick in local oil derivative prices corresponds to a 0.23% increase in the consumer price index. Based on these research outcomes, it is strongly recommended that measures be explored to effectively manage the volatility of oil derivative prices in Jordan. The implementation of such measures holds the potential to bolster local price stability and foster a more resilient economic environment.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model

Adailah,

Al-Damour,

Al-Majali

2024

IJEEP

View full text Add to dashboard Cite

show abstract

Symmetries or Asymmetries: How MSCI Index Advanced European Markets’ Exchange Rates Respond to Macro-Economic Fundamentals

Tabash,

AsadUllah,

Siddiq

et al. 2024

Economies

View full text Add to dashboard Cite

The purpose of this study is to find symmetries and asymmetries in the exchange rate and macroeconomic fundamentals of advanced European markets, namely Denmark, the Euro Area, and United Kingdom, for the period of 2011 to 2022 via application of the NARDL technique. The findings reveal that interest rate affects DKK exchange rate asymmetrically in the long and short run, whereas money supply affects it in the short run. Foreign reserves are found to be helpful for all three currencies in stabilizing the exchange rate. A decline in gold price weakens GBP, DKK, and EUR in the long run. Previous studies suggest that the existence of asymmetrical relationships justifies the selection of NARDL for empirical analysis. This study makes a contribution to the existing literature, as it proves that forecasting via NARDL is also robust for analysis. The findings have significant policy implications for financial applications.

show abstract

The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies

Cited by 2 publications

References 45 publications

The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model

The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model

Symmetries or Asymmetries: How MSCI Index Advanced European Markets’ Exchange Rates Respond to Macro-Economic Fundamentals

Contact Info

Product

Resources

About