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Browsing Research Articles (Economics) by Subject "Oil shocks"
Now showing items 1-14 of 14
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(Elsevier, 2021-12)We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly ...
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(Elsevier, 2023-06)In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using the Mixed Data Sampling variant of the Generalized Autoregressive Conditional ...
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(MDPI, 2023-11)We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on ...
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(Routledge, 2020-12)We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level consumption of the United States (U.S.) over the period of 1975:Q1 to 2012:Q2. ...
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(Elsevier, 2021-11)We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level real housing returns of the United States (US) over the monthly period of 1975:02 ...
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(Routledge, 2019)This article studies the effects of foreign (real) oil price shocks on key macroeconomic variables for South Africa: a net-importer of oil. We develop and estimate a small open economy New-Keynesian dynamic stochastic ...
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(Elsevier, 2020-09)Using local projection methods, this paper employs monthly panel data from 1989 to 2017 to examine both linear and nonlinear impulse responses of macroeconomic uncertainty to structural shocks to global oil production, ...
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(Routledge, 2021)In this paper, we analyse the role played by disaggregated oil shocks in driving real estate uncertainty (REU) over the monthly period of 1975:02 to 2017:12, based on impulse response functions generated from the local ...
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(Routledge, 2021)We examine the predictive power of disentangled oil price shocks over gold market volatility via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our in- and out-of-sample tests show that combining the ...
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(Wiley, 2022-05)Using high-frequency (daily) data on macroeconomic uncertainties and the partial cross-quantilogram approach, we examine the directional predictability of disentangled oil-price shocks for the entire conditional distribution ...
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(Springer, 2024-05)In this paper, we employ the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework to forecast the daily volatility of state-level stock returns in the United States (US) ...
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(Elsevier, 2021-05)In this study, we employ the GARCH–MIDAS (Generalised Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling) model to investigate the response of stock market volatility of the BRICS group of countries ...
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(Springer, 2020-01)In this paper, we analyse the role of oil price shocks, derived from expectations of consumers, economists, financial market, and policymakers, in predicting volatility jumps in the S&P500 over the monthly period of ...
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(Elsevier, 2016-03)We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of the dependence structure between ...
Now showing items 1-14 of 14