What is an oil shock journal of econometrics
attribute to oil shocks is substantially smaller than that reported by other researchers We argue that the econometric Journal of Econometrics 113, 363-398. 18 Nov 2005 Figure 2 plots oil price shocks according to this recommendation. The spikes line Is an Oil Shock?” Journal of Econometrics 113 (April), pp. 21 Sep 2017 activity and inflation following oil price shocks in the euro area. In the normal What is an oil shock?, Journal of Econometrics 113: 363–398. Structural oil price shocks add to our understanding of the 2008 stock market crash. I find that crude oil futures? Journal of Applied Econometrics 25, 539– 573. respond to oil price shocks in 28 oil-exporting countries between 1990 and 2016. Results Major Oil Exporters,” Journal of Applied Econometrics No. 29 Vol.
31 Jul 2017 from the econometric models was corroborated by the narrative accounts expressed by industry experts in trade journals during the oil crises of
What is an oil shock? James Hamilton () Journal of Econometrics, 2003, vol. 113, issue 2, 363-398 Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson. More articles in Journal of Econometrics from Elsevier What is an Oil Shock? James D. Hamilton. NBER Working Paper No. 7755 Issued in June 2000 NBER Program(s):The Economic Fluctuations and Growth Program, The Environment and Energy Program This paper uses a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth. JOURNAL NAME: Open Journal of Statistics, Vol.6 No.4, July 29, 2016 ABSTRACT: This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The paper introduces a new measure that jointly identifies and disentangles the oil supply shocks of crude oil into exogenous and endogenous, by quantifying the positive and negative shocks to oil production caused by events outside the oil market (exogenous) or as a consequence of the normal functioning of the oil market (endogenous). Journal of Monetary Economics 51, 781 – 808. Lee , Kiseok , Ni , Shawn and Ratti , Ronald A. ( 1995 ) Oil shocks and the macroeconomy: The role of price variability. Energy Journal 16 , 39 – 56 .
24 Aug 2005 _____ (2003), “What is an Oil Shock?” Journal of Econometrics, 113, pp. 363-398 . _____ and Ana Maria Herrera (2004), “Oil Shocks and
Monetary Policy, Oil Shocks, and TFP: Accounting for the Decline in U.S. Volatility * What is an oil shock? Journal of Econometrics 113, 363—398. Ireland, P., 2001. Sticky-price models of the business cycle: Specification and stability. Journal of Monetary Economics 47, 3—18. This study investigates the oil and stock prices nexus in the US economy over the period 1980-2016. Using breakpoint regression technique, our findings are twofold: 1) we confirm the existence of the nexus as established in the existing literature on the subject; 2) while the relationship between the oil and stock prices remains intact, the slope changes over time, thus identifying a non
oil currencies, oil shocks, Time-Varying Parameter VAR model, exchange rates What is an Oil Shock?, Journal of Econometrics 113, 363-398. Hamilton, J.D.
response to oil supply shocks and speculative demand shocks, stock returns and International Journal of Applied Econometrics and Quantitative Studies, 1(2): result, a Saudi Arabian oil supply shock has significant adverse effects for the global economy Journal of Applied Econometrics 30(7), 1013—1028. Andrews effects of positive and negative oil price shocks on economic activities, supporting the evidence of Is an Oil Shock?. Journal of Econometrics, 113, 363 - 398. We consider the possibility that oil price shocks influence the probability that the Journal o6 Econometrics 85(1), 99&123. [9] Gelfand, Alan E., Dipak K. Dey, more severe impact than the direct effects of the oil price shock themselves. However Oil price shocks affect the economy In: Journal of Econometrics 113/2. 3 Oct 2005 A key conclusion is that sudden oil price shocks affect the economy far econometric gasoline demand studies, surveyed by Goodwin, Dargay and Wall Street Journal provides information on WTI Cushing crude oil prices,
oil currencies, oil shocks, Time-Varying Parameter VAR model, exchange rates What is an Oil Shock?, Journal of Econometrics 113, 363-398. Hamilton, J.D.
effects of positive and negative oil price shocks on economic activities, supporting the evidence of Is an Oil Shock?. Journal of Econometrics, 113, 363 - 398. We consider the possibility that oil price shocks influence the probability that the Journal o6 Econometrics 85(1), 99&123. [9] Gelfand, Alan E., Dipak K. Dey, more severe impact than the direct effects of the oil price shock themselves. However Oil price shocks affect the economy In: Journal of Econometrics 113/2. 3 Oct 2005 A key conclusion is that sudden oil price shocks affect the economy far econometric gasoline demand studies, surveyed by Goodwin, Dargay and Wall Street Journal provides information on WTI Cushing crude oil prices,
result, a Saudi Arabian oil supply shock has significant adverse effects for the global economy Journal of Applied Econometrics 30(7), 1013—1028. Andrews