The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries

Sheng, Xin; Gupta, Rangan; Ji, Qiang

doi:10.1016/j.eneco.2020.104940

Cited by 52 publications

(16 citation statements)

References 47 publications

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“…Ghysels et al (2004) proposed mixed data sampling (MIDAS) regression models, and Colacito et al (2011) and Engle et al (2013) applied the MIDAS technique into the GARCH model and constructed the GARCH-MIDAS model, and the GRACH-MIDAS model successfully addresses the problem of mismatching data frequency. After that, many macroeconomic factors have been applied to investigate underlying economic factors of asset volatility (Conrad et al, 2014;Liu J. et al, 2020;Sheng et al, 2020), and verified the superiority of predictive ability of GARCH-MIDAS model (Ghysels et al, 2019). Therefore, we construct the benchmark GARCH-MIDAS model with realized volatility (RV) and 15 individual GARCH-MIDAS models with various macroeconomy uncertainty determinants.…”

Section: Literature Reviewmentioning

confidence: 94%

“…Along with the establishment of the crude oil futures market in 2018, global macro uncertainty events have generally shown an upward trend (Sheng et al, 2020), especially for the economic policy uncertainty (EPU) and the geopolitical risk (GPR). These two macroeconomic uncertainty factors have long been regarded by investors as the key factors affecting investment decisions in the crude oil futures market (Aloui et al, 2016;Antonakakis et al, 2017;Balcilar et al, 2017;Dees et al, 2017;Escribano and Valdes, 2017;Wei et al, 2017;Cunado et al, 2019;Plakandaras et al, 2019;Brandt and Gao, 2019;Geng et al, 2020;Hu et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

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Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Yang

2021

Front. Environ. Sci.

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This paper investigates whether the macroeconomic uncertainty factors can explain and forecast China’s INE crude oil futures market volatility. We use the GARCH-MIDAS model to investigate the explaining and predicting power of the macroeconomic uncertainties. We considered various geopolitical risk (GPR) indices, economic policy uncertainty (EPU) indices, and infectious disease pandemic (IDEMV) indices in our model. The empirical results suggest that the geopolitical risk, the geopolitical act risk, the global economic policy uncertainty, the economic policy uncertainty from the United Kingdom, and the economic policy uncertainty from Japan comprehensively integrate the information contained in the rest factors, and have superior predictive powers for INE crude oil future volatility. These findings highlight the importance of the impact of macroeconomic uncertainty factors has on the crude oil futures market, and indicate that the macroeconomic uncertainties need to be considered when explaining and forecasting crude oil futures market volatility.

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Section: Literature Reviewmentioning

confidence: 94%

Section: Introductionmentioning

confidence: 99%

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Yang

2021

Front. Environ. Sci.

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“…In the reference [14], the researchers analyzed the effects of economic uncertainty on structural shocks to global oil supply, aggregate demand, and energy consumption. The authors studied both linear/nonlinear impulse responses of economic uncertainty to oil price changes in a large number of economies using local projection approaches.…”

Section: Literature Reviewmentioning

confidence: 99%

Evaluation of Energy Price Liberalization in Electricity Industry: A Data-Driven Study on Energy Economics

Tabatabaei

Asef

2021

Energies

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This study aims to evaluate the effects of price liberalization on energy consumption intensity, because price liberalization leads to improved productivity, energy consumption management, and consumption reform. Although the energy consumption of large-scale factories and industries has increased dramatically, and the energies losses have an increment in the power transmission lines, this policy can result in decreasing the energy consumption intensity due to the changes in consumption patterns. If there is a correlation between two variables, the price can be a valid variable to control cost and increase consumption efficiency. The augmented Dickey–Fuller (ADF) and the Chi-squared tests are also employed to investigate the maneuverability of these variables in the first-order contrast. In this case study, the energy consumption intensity response to price changes using the data gathered between 1988–2020, has gained a confidence interval of these reactions at 95%. The proposed vector autoregressive (VAR) model has forecasted the action and reaction of the end-user, to investigate the future shocks between 2020–2050, considering a new price shock, in the Iranian energy market for the first time. The research findings have shown that energy price liberalization leads to the energy intensity improvement, however, the end-user (shocking) reactions should be investigated to implement a more sustainable policy that eases the new energy price rises.

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“…The literature at large provides evidence that developing and emerging countries are negatively affected by the sudden change in the oil prices (Brown & Yueel, 2002;Hooker, 2002;Cunado & Garcia, 2005;Blanchard & Gali, 2007;Nasir et al, 2018;Sheng et al, 2020). There are both positive and negative effects of the rise in oil prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Adverse Supply Shocks and the Financial Response: An Empirical Study of Pakistan

Nizamani

Shaikh

2020

SIJMB

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The present paper has examined the role of monetary policy in mitigating the adverse supply shocks (i.e. rise in oil prices). A typical monetary policy is regarded as the stabilizing policy and it is responsible to safeguard an economy in the emergence of any negative shock from the external world. Pakistan's economy has been vulnerable to oil price fluctuations and it has often faced the long run negative impact, for instance the negative effects of 2008 commodity crises which were mainly because of the abrupt rise in oil prices. The monetary policy of Pakistan usually follows the tight policy stance as a response to such adverse supply shocks but the question always remain, how effective is it in mitigating those negative effects? In this regard, the present study has explored the effectiveness of monetary policy stance in Pakistan. In order to achieve the underline objective, this study has used the Shutdown Methodology in Structural Vector Autoregressive (SVAR) models on the quarterly data from 1992 to 2016. The results from the underline model have revealed that the monetary policy of Pakistan has a limited effectiveness on its main target variables of economic output and general price level.

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The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries

Cited by 52 publications

References 47 publications

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Evaluation of Energy Price Liberalization in Electricity Industry: A Data-Driven Study on Energy Economics

Adverse Supply Shocks and the Financial Response: An Empirical Study of Pakistan

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