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Author: Wafaa Sbeiti Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
This paper investigates the relationship between stock prices and main macroeconomic variables (i.e. oil prices, short-term interest rate and domestic credit) that are believed to affect stock prices in the context of the Gulf Cooperation Council (GCC) markets. For this purpose, this paper employed recent time series techniques of cointegration and Granger causality tests. The multivariate cointegration tests identified that oil prices, interest rates and domestic credit have long-term equilibrium effects on stock market prices in four GCC countries. In addition, the Granger causality test highlighted that the causality is running from oil prices to the stock price index in the case of Kuwait, Saudi Arabia and Oman. Also, the causal flow from the domestic credit to the index has been found in the case of Kuwait and Saudi Arabia; while the interest rate has causal effect on the stock price index in the case of Saudi Arabia, Bahrain and Oman. Further assessment of the relationship between these variables, based on generalised variance decomposition and generalised impulse response functions, reveals the importance of oil prices in explaining a significant part of the forecast error variance of the index in Kuwait, Saudi Arabia and Oman. Most of the variations in the stock prices can be captured by innovations in the three selected variables. Therefore, the causal relationship that macroeconomic variables granger caused stock prices are quantitatively supported by innovation analysis.
Author: Wafaa Sbeiti Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
This paper investigates the relationship between stock prices and main macroeconomic variables (i.e. oil prices, short-term interest rate and domestic credit) that are believed to affect stock prices in the context of the Gulf Cooperation Council (GCC) markets. For this purpose, this paper employed recent time series techniques of cointegration and Granger causality tests. The multivariate cointegration tests identified that oil prices, interest rates and domestic credit have long-term equilibrium effects on stock market prices in four GCC countries. In addition, the Granger causality test highlighted that the causality is running from oil prices to the stock price index in the case of Kuwait, Saudi Arabia and Oman. Also, the causal flow from the domestic credit to the index has been found in the case of Kuwait and Saudi Arabia; while the interest rate has causal effect on the stock price index in the case of Saudi Arabia, Bahrain and Oman. Further assessment of the relationship between these variables, based on generalised variance decomposition and generalised impulse response functions, reveals the importance of oil prices in explaining a significant part of the forecast error variance of the index in Kuwait, Saudi Arabia and Oman. Most of the variations in the stock prices can be captured by innovations in the three selected variables. Therefore, the causal relationship that macroeconomic variables granger caused stock prices are quantitatively supported by innovation analysis.
Author: Bhaskar Bagchi Publisher: Emerald Group Publishing ISBN: 1786355531 Category : Business & Economics Languages : en Pages : 225
Book Description
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author: Constantinos Katrakilidis Publisher: ISBN: Category : Languages : en Pages :
Book Description
We investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.
Author: Mr. Kangni R Kpodar Publisher: International Monetary Fund ISBN: 1616356154 Category : Business & Economics Languages : en Pages : 34
Book Description
This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Author: Ramazan Gençay Publisher: Elsevier ISBN: 0080509223 Category : Business & Economics Languages : en Pages : 383
Book Description
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Author: James Laurenceson Publisher: Edward Elgar Publishing ISBN: 9781843767190 Category : Business & Economics Languages : en Pages : 188
Book Description
China's prospects of successfully completing the transition to a market economy and becoming the world's largest economy during the 21st Century depend on the future sustainability of high rates of economic growth. This book is a comprehensive, balanced and realistic assessment of China's financial reform program and future direction. Covering not only the banking sector but also non-bank financial institutions, stock market development and external financial liberalization, the authors examine the impact of financial reform on economic development in China during the reform period. This volume will facilitate a more accurate assessment of the Chinese approach to financial reform, and will therefore allow more informed future policy choices for both China and other developing and transitional countries.
Author: Mr.Rabah Arezki Publisher: International Monetary Fund ISBN: 1475572360 Category : Business & Economics Languages : en Pages : 30
Book Description
This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.
Author: Stéphane Goutte Publisher: Springer Nature ISBN: 3030985423 Category : Business & Economics Languages : en Pages : 137
Book Description
This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Author: Wafaa Sbeiti
Author: Wafaa Sbeiti
Author: Bhaskar Bagchi
Author: Constantinos Katrakilidis
Author: Bassam Fattouh
Author: Mr. Kangni R Kpodar
Author: Huiming Zhu
Author: Ramazan Gençay
Author: James Laurenceson
Author: Mr.Rabah Arezki
Author: Stéphane Goutte