Transmission of world price shocks - Evidence from GCC countries

Gunwant, Darshita Fulara; Rather, Sartaj Rasool

doi:10.1016/j.jeca.2021.e00210

Cited by 3 publications

(3 citation statements)

References 21 publications

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“…The findings suggest that policymakers should consider the asymmetric nature of the transmission mechanism with respect to such volatility shocks while choosing the policy decisions. Further, in line with previous studies, such as Hasanov and Razek (2023) and Gunwant and Rather (2021), these findings highlight the fact that despite implementing several economic reforms, the Saudi economy continues to be characterized by lower degrees of competitiveness and higher levels of market imperfections.…”

supporting

confidence: 90%

Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia

Gunwant,

Rather,

Zargar

2024

IJEEP

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This study investigates whether the positive and negative shocks in oil price volatility have an asymmetric effect on the volatility measures of the macroeconomic variables in the context of Saudi Arabia- a major oil exporting country in the region. The empirical results suggest that a positive shock in the oil price volatility tends to generate higher volatility in inflation, forex reserves, public spending and stock prices, whereas a negative shock in the oil price volatility does not seem to have any significant impact on the volatility measures of most of these variables. The crucial inference that emerges from these findings is that the unfavourable events in the oil markets that cause higher volatility in oil prices seem to generate higher macroeconomic uncertainty. However, the favourable oil market events that are believed to reduce uncertainty, do not seem to have a stabilizing impact on the macroeconomic environment of the Saudi economy.

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supporting

confidence: 90%

Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia

Gunwant,

Rather,

Zargar

2024

IJEEP

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“…The results by Azar and Chopurian (2018) show that commodity indices are indeed strong diversifiers and safe havens for GCC equity markets. While Gunwant and Rather (2021) conclude that the positive shocks in global commodity prices are transmitted to the domestic prices of these economies, whereas the negative shocks are not transmitted. JFEP 15,4/5 Arouri et al (2014) examine the impact of the degree of economic uncertainty in the US on GCC equity markets.…”

Section: Empirical Discussionmentioning

confidence: 84%

“…The relationship between GCC stock markets and commodity indices has been empirically studied mainly by Azar and Chopurian (2018) and Gunwant and Rather (2021). The results by Azar and Chopurian (2018) show that commodity indices are indeed strong diversifiers and safe havens for GCC equity markets.…”

Section: Empirical Discussionmentioning

confidence: 99%

Global hidden factors predicting financial distress in Gulf Arab states: a quantile–time–frequency analysis

Trabelsi

2023

JFEP

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Purpose This study aims to uncover the main predictors of financial distress in the Gulf Cooperation Council (GCC) countries using a wide range of global factors and asset classes. Design/methodology/approach This study uses novel approaches that take into account extreme events as well as the nonlinear behavior of time series over various time intervals (i.e. short, medium and long term) and during boom and bust episodes. This study primarily uses the conditional value at risk (CoVaR), the quantile multivariate causality test and the partial wavelet coherence method. The data collection period ranges from March 2014 to September 2022. Findings US T-bills and gold are the primary factors that can increase financial stability in the GCC region, according to VaRs and CoVaRs. More proof of the predictive value of the oil, gold and wheat markets, as well as geopolitical tensions, uncertainty over US policy and volatility in the oil and US equities markets, is provided by the multivariate causality test. When low extreme quantiles or cross extreme quantiles are taken into account, these results are substantial and sturdy. Lastly, after adjusting for the effect of crude oil prices, this study’s wavelet coherence results indicate diminished long-run connections between the GCC stock market and the chosen global determinants. Research limitations/implications Despite the implications of the author’s research for decision makers, there are some limitations mainly related to the selection of Morgan Stanley Capital International (MSCI) GCC ex-Saudi Arabia. Considering the economic importance of the Kingdom of Saudi Arabia (KSA) in the region, the author believes that it would be better to include this country in the data to obtain more robust results. In addition, there is evidence in the literature of the existence of heterogeneous responses to global shocks; some markets are more vulnerable than others. This is another limitation of this study, as this study considers the GCC as a bloc rather than each country individually. These limitations could open up further research opportunities. Originality/value These findings are important for investors seeking to manage their portfolios under extreme market conditions. They are also important for government policies aimed at mitigating the impact of external shocks.

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Nonlinear price transmission in the rice market in Senegal: a model-based recursive partitioning approach

Traoré

Jimbira

Sall³

2021

Applied Economics

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Transmission of world price shocks - Evidence from GCC countries

Cited by 3 publications

References 21 publications

Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia

Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia

Global hidden factors predicting financial distress in Gulf Arab states: a quantile–time–frequency analysis

Nonlinear price transmission in the rice market in Senegal: a model-based recursive partitioning approach

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