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Syed Abul Basher - One of the best experts on this subject based on the ideXlab platform.
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exchange rates of Oil Exporting countries and global Oil price shocks a nonlinear smooth transition approach
Applied Economics, 2019Co-Authors: Alfred A Haug, Syed Abul BasherAbstract:This paper models logistic and exponential smooth transition adjustments of real exchange rates for six major Oil-Exporting countries in response to different shocks affecting Oil prices. The logis...
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the impact of Oil market shocks on stock returns in major Oil Exporting countries
Journal of International Money and Finance, 2018Co-Authors: Syed Abul Basher, Alfred A Haug, Perry SadorskyAbstract:Abstract The impact that Oil-market shocks have on stock prices in Oil Exporting countries has implications for both domestic and international investors. We derive the shocks driving Oil prices from an Oil market model that explicitly identifies speculative trading in the crude Oil market. We study the nonlinear relationship of Oil price shocks with stock market returns in major Oil-Exporting countries in a multi-factor Markov-switching framework. Flow Oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic Oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative (Oil-inventory) shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow Oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by Oil-market shocks. A portfolio that uses the Markov-switching probabilities to switch between equities in the low volatility state and T-bills in the high volatility state outperforms a buy and hold strategy for some countries.
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exchange rates of Oil Exporting countries and global Oil price shocks a nonlinear smooth transition approach
Social Science Research Network, 2017Co-Authors: Alfred A Haug, Syed Abul BasherAbstract:This paper considers logistic (asymmetric) and exponential (symmetric) smooth transition adjustments of real and nominal exchange rates for six major Oil-Exporting countries in response to different shocks affecting Oil prices. Real exchange rate movements affect the terms of trade and hence may affect relative competitiveness. We detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to Oil supply shocks, idiosyncratic Oil-market-specific shocks, and speculative (crude Oil inventory) Oil-market shocks. On the other hand, global aggregate demand shocks, which are shocks that do not directly originate in the Oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and linear effects for the UK. These qualitative results mostly hold for nominal exchange rate returns as well. Exceptions are that linear effects are found for aggregate demand shocks for Brazil and for idiosyncratic shocks for Norway, whereas the aggregate demand shocks for the UK have nonlinear and asymmetric effects instead of linear ones.
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The impact of Oil-market shocks on stock returns in major Oil-Exporting countries: A Markov-switching approach
2017Co-Authors: Syed Abul Basher, Alfred A Haug, Perry SadorskyAbstract:The impact that Oil shocks have on stock prices in Oil Exporting countries has implications for both domestic and international investors. We derive the shocks driving Oil prices from a fully-identified structural model of the Oil market. We study their nonlinear relationship with stock market returns in major Oil-Exporting countries in a multi-factor Markov-switching framework. Flow Oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic Oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative Oil shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow Oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by Oil shocks. These results shed important light on investor sentiment toward the relationship between Oil shocks and stock markets in Oil Exporting countries.
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the long run relationship between savings and investment in Oil Exporting developing countries a case study of the gulf arab states
MPRA Paper, 2011Co-Authors: Syed Abul Basher, Stefano FachinAbstract:The relationship between national saving and investment over the long term is examined for six Gulf Arab Oil-Exporting developing countries -- Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. We show that, provided some large outliers are properly accounted for, long-run equilibrium relationships between saving and investment (both total and fixed) exist in these countries. Since these countries have typically large current account surpluses such relationships cannot be explained by standard arguments. Our hypothesis is that the response of investment to saving largely depends on domestic absorptive capacity.
Mohsen Mehrara - One of the best experts on this subject based on the ideXlab platform.
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Granger causality between Health and Economic Growth in Oil Exporting countries
2011Co-Authors: Mohsen Mehrara, Maysam MusaiAbstract:This paper examine the causal relationship between the health expenditure and the GDP in a panel of 11 selected Oil Exporting countries by using panel unit root tests and panel cointegration analysis. A three variable model is formulated with Oil revenues as the third variable. The results show a strong causality from Oil revenues and economic growth to health expenditure in the Oil Exporting countries. Yet, health spending does not have any significant effects on GDP in short- and long-run. The findings imply high vulnerability of Oil dependent countries to Oil revenues volatility. To insulate the economy from Oil revenue volatility requires institutional mechanisms de-linking health expenditures decisions from current revenue. JEL classifications: Q43; Q48
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macroeconomic dynamics in the Oil Exporting countries a panel var study
2011Co-Authors: Mohsen Mehrara, Mohsen MohagheghAbstract:This paper studies the macroeconomic dynamics in Oil Exporting countries using Panel VAR approach. This study in contrary with most other researches focuses on developing net Oil exporters –instead of developed net importers- and in addition to investigating macroeconomic fluctuations, provides fresh insight into the impacts of Oil shocks on macroeconomic variables. On the basis of Impulse Response and Variance Decompositions analysis in a system included economic output, money supply, price index and Oil price, we found that: (1) Oil shocks are not necessarily inflationary; (2) money is not neutral in these countries; (3) money is the main cause of macroeconomic fluctuations; (4) Oil shocks significantly affect economic output and money supply; (5) though Oil price is highly driven by its own shocks, domestic shocks, particularly output and money shocks, can sizably affect Oil price in the world market.
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Reconsidering the resource curse in Oil-Exporting countries
Energy Policy, 2009Co-Authors: Mohsen MehraraAbstract:While there is much evidence to support the resource curse hypothesis for resource-abundant countries, some studies have found that Oil booms raise the economic growth of Oil-Exporting countries. This paper examines the issue of the existence of the threshold effects in the relationship between Oil revenues and output growth in Oil-Exporting countries, applying panel regressions. The empirical results strongly suggest the existence of a threshold beyond which Oil revenues growth exerts a negative effect on output. The results indicate that the threshold of growth rate of Oil revenues above which Oil revenues significantly slows growth is around 18-19% for Oil-Exporting countries. In contrast, linear estimation without any allowance for threshold effects would misleadingly imply that an increase in the Oil revenues increase the economic growth rate. Failure to account for nonlinearities conceal the resource curse in these countries particularly during extreme Oil booms as suggested in previous studies.
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the asymmetric relationship between Oil revenues and economic activities the case of Oil Exporting countries
Energy Policy, 2008Co-Authors: Mohsen MehraraAbstract:This paper examines the nonlinear or asymmetric relationship between Oil revenues and output growth in Oil-Exporting countries, applying a dynamic panel framework and two different measures of Oil shocks. The main results in this paper confirm the stylized facts that in heavily Oil-dependent countries lacking the institutional mechanisms de-linking fiscal expenditure from current revenue, Oil revenue shocks tend to affect the output in asymmetric and nonlinear ways. The findings suggest that output growth is adversely affected by the negative Oil shocks, while Oil booms or the positive Oil shocks play a limited role in stimulating economic growth. The findings have practical policy implications for decision makers in the area of macroeconomic planning. The use of stabilization and savings funds and diversification of the real sector seems crucial to minimize the harmful effects of Oil booms and busts.
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the sources of macroeconomic fluctuations in Oil Exporting countries a comparative study
Economic Modelling, 2007Co-Authors: Mohsen Mehrara, Kamran Niki OskouiAbstract:This paper studies the sources of macroeconomic fluctuations in Oil-Exporting countries using a structural VAR approach. By imposing long-run restrictions on a VAR model, four structural shocks are identified: nominal demand, real demand, supply, and Oil price shocks. This framework is applied to Iran, Saudi Arabia, Kuwait, and Indonesia. Oil price shocks are shown to be the main source of output fluctuations in Saudi Arabia and Iran, but not in Kuwait and Indonesia. The results can be attributed to the relatively successful experience of Kuwait in the use of stabilization and savings fund and the right structural reforms particularly diversifying away from resource-based production in Indonesia.
Alfred A Haug - One of the best experts on this subject based on the ideXlab platform.
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exchange rates of Oil Exporting countries and global Oil price shocks a nonlinear smooth transition approach
Applied Economics, 2019Co-Authors: Alfred A Haug, Syed Abul BasherAbstract:This paper models logistic and exponential smooth transition adjustments of real exchange rates for six major Oil-Exporting countries in response to different shocks affecting Oil prices. The logis...
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the impact of Oil market shocks on stock returns in major Oil Exporting countries
Journal of International Money and Finance, 2018Co-Authors: Syed Abul Basher, Alfred A Haug, Perry SadorskyAbstract:Abstract The impact that Oil-market shocks have on stock prices in Oil Exporting countries has implications for both domestic and international investors. We derive the shocks driving Oil prices from an Oil market model that explicitly identifies speculative trading in the crude Oil market. We study the nonlinear relationship of Oil price shocks with stock market returns in major Oil-Exporting countries in a multi-factor Markov-switching framework. Flow Oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic Oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative (Oil-inventory) shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow Oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by Oil-market shocks. A portfolio that uses the Markov-switching probabilities to switch between equities in the low volatility state and T-bills in the high volatility state outperforms a buy and hold strategy for some countries.
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exchange rates of Oil Exporting countries and global Oil price shocks a nonlinear smooth transition approach
Social Science Research Network, 2017Co-Authors: Alfred A Haug, Syed Abul BasherAbstract:This paper considers logistic (asymmetric) and exponential (symmetric) smooth transition adjustments of real and nominal exchange rates for six major Oil-Exporting countries in response to different shocks affecting Oil prices. Real exchange rate movements affect the terms of trade and hence may affect relative competitiveness. We detect no statistically significant non-linearities for the adjustment process of real exchange rate returns, be they asymmetric or symmetric, in response to Oil supply shocks, idiosyncratic Oil-market-specific shocks, and speculative (crude Oil inventory) Oil-market shocks. On the other hand, global aggregate demand shocks, which are shocks that do not directly originate in the Oil market, have nonlinear asymmetric effects on real exchange rate returns for Canada, Mexico, Norway and Russia, and linear effects for the UK. These qualitative results mostly hold for nominal exchange rate returns as well. Exceptions are that linear effects are found for aggregate demand shocks for Brazil and for idiosyncratic shocks for Norway, whereas the aggregate demand shocks for the UK have nonlinear and asymmetric effects instead of linear ones.
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The impact of Oil-market shocks on stock returns in major Oil-Exporting countries: A Markov-switching approach
2017Co-Authors: Syed Abul Basher, Alfred A Haug, Perry SadorskyAbstract:The impact that Oil shocks have on stock prices in Oil Exporting countries has implications for both domestic and international investors. We derive the shocks driving Oil prices from a fully-identified structural model of the Oil market. We study their nonlinear relationship with stock market returns in major Oil-Exporting countries in a multi-factor Markov-switching framework. Flow Oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic Oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative Oil shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow Oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by Oil shocks. These results shed important light on investor sentiment toward the relationship between Oil shocks and stock markets in Oil Exporting countries.
Khaled Mokni - One of the best experts on this subject based on the ideXlab platform.
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time varying effect of Oil price shocks on the stock market returns evidence from Oil importing and Oil Exporting countries
Energy Reports, 2020Co-Authors: Khaled MokniAbstract:Abstract This paper performs a two-stage methodology based on the Structural VAR and time-varying parameter regression models to examine the dynamic reaction of a set of Oil-related countries’ stock markets to Oil price shocks. Oil prices are studied by disentangling demand and supply shocks. Based on monthly data from the 1999–2018 period, the results report evidence of a time-varying reaction of all stock market returns to different Oil shocks. Moreover, the stock returns react to the demand shocks more than to the supply shocks. Besides, the effect of supply shocks on stock returns is generally limited and negative, while the aggregate demand shocks exert a positive effect on almost all stock returns. Oil-specific demand shocks have positive effects on the Oil-Exporting stock returns and negative effects in the case of Oil-importing countries, except for the Chinese market. These findings have important policy implications for policymakers and investors.
Majda Seghir - One of the best experts on this subject based on the ideXlab platform.
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Natural resource curse in Oil Exporting countries: A nonlinear approach
International Economics, 2018Co-Authors: Olivier Damette, Majda SeghirAbstract:This paper aims at extending the concept of conditional natural resource curse and examining the quantity as well as the quality of public spending as the main drivers of the Oil curse in Oil Exporting countries. Using nonlinear threshold models, there is evidence in favor of non-linear relationship between Oil incomes and economic performances. We show that highly Oil dependent countries are more likely to experience inefficiencies in government decision and, by extension, Oil revenues misallocation leading to underdevelopment. Relying on human capital as the mirror of the quantity as well as the quality of government spending in education, we find a similar pattern. The alteration in government efficiency is the main mechanism through which Oil incomes lead to poor economic performances. Indeed, the direct contribution of Oil incomes to total output is rather positive, even if the magnitude of this effect is likely to decrease with the relative level of Oil dependence. The estimates indicate that the non-linear model is the better for explaining economic growth divergences across Oil Exporting countries as well as for reconciling the conflicting results from the empirical literature of the Oil curse.
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Energy as a driver of growth in Oil Exporting countries
Energy Economics, 2013Co-Authors: Olivier Damette, Majda SeghirAbstract:This paper is a contribution to the on-going debate over whether there is a relationship between energy consumption and economic growth. Although the Oil Exporting countries are among the most energy-intensive economies in the world, little attention has been paid to the features of their energy consumption. Therefore, this study empirically investigates the two variables dynamic relationship in 12 Oil Exporting countries from 1990 to 2010. Using recently developed panel econometric techniques, the present paper accounts for cross-section dependence and structural breaks when analysing the energy-income nexus. The results of this study indicate that there exists a long-run equilibrium relationship between energy consumption and economic growth. Furthermore, the empirical evidence of a dynamic panel error-correction model reveals a short-run unidirectional causality from energy consumption to economic growth, whereas in the long-run, it is the economic process that determines the energy consumption trend.
