The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Lutz Kilian - One of the best experts on this subject based on the ideXlab platform.
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is the discretionary income effect of Oil Price shocks a hoax
The Energy Journal, 2018Co-Authors: Christiane Baumeister, Lutz Kilian, Xiaoqing ZhouAbstract:The transmission of Oil Price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real Price of Oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of Oil Price shocks is fundamentally confused about the question of how to quantify the effect of Oil Price shocks.
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is the discretionary income effect of Oil Price shocks a hoax
2017Co-Authors: Christiane Baumeister, Lutz Kilian, Xiaoqing ZhouAbstract:The transmission of Oil Price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real Price of Oil in 2014-16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of Oil Price shocks is fundamentally confused about the question of how to quantify the effect of Oil Price shocks. In particular, she asserts that the discretionary income effect on private consumption, which plays a central role in contemporary accounts of the transmission of Oil Price shocks to the U.S. economy, makes no economic sense and has no economic foundation. Ramey suggests that the literature has too often confused the terms-of-trade effect with this discretionary income effect, and she makes the case that the effects of the Oil Price decline of 2014-16 on private consumption are smaller for a multitude of reasons than suggested by empirical models of the discretionary income effect. We review the main arguments in Ramey (2017) and show that none of her claims hold up to scrutiny.
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Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
Journal of Economic Perspectives, 2016Co-Authors: Christiane Baumeister, Lutz KilianAbstract:It has been 40 years since the Oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about Oil Price shocks. In recent years, a large literature on the economic determinants of Oil Price fluctuations has emerged. Drawing on this literature, we first provide an overview of the causes of all major Oil Price fluctuations between 1973 and 2014. We then discuss why Oil Price fluctuations remain difficult to predict, despite economists' improved understanding of Oil markets. Unexpected Oil Price fluctuations are commonly referred to as Oil Price shocks. We document that, in practice, consumers, policymakers, financial market participants, and economists may have different Oil Price expectations, and that, what may be surprising to some, need not be equally surprising to others.
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Oil Price shocks causes and consequences
Research Papers in Economics, 2014Co-Authors: Lutz KilianAbstract:Research on Oil markets conducted during the last decade has challenged long-held beliefs about the causes and consequences of Oil Price shocks. As the empirical and theoretical models used by economists have evolved, so has our understanding of the determinants of Oil Price shocks and of the interaction between Oil markets and the global economy. Some of the key insights are that the real Price of Oil is endogenous with respect to economic fundamentals, and that Oil Price shocks do not occur ceteris paribus. This makes it necessary to explicitly account for the demand and supply shocks underlying Oil Price shocks when studying their transmission to the domestic economy. Disentangling cause and effect in the relationship between Oil Prices and the economy requires structural models of the global economy including the Oil market.
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Oil Price Shocks: Causes and Consequences
Annual Review of Resource Economics, 2014Co-Authors: Lutz KilianAbstract:Research on Oil markets conducted during the last decade has chal-lenged long-held beliefs about the causes and consequences of Oil Price shocks. As the empirical and theoretical models used by economists have evolved, so has our understanding of the determinants of Oil Price shocks and of the interaction between Oil markets and the global economy. Some of the key insights are that the real Price of Oil is en-dogenous with respect to economic fundamentals and that Oil Price shocks do not occur ceteris paribus. As a result, one must explicitly account for the demand and supply shocks underlying Oil Price shocks when studying their transmission to the domestic economy. Disen-tangling cause and effect in the relationship between Oil Prices and the economy requires structural models of the global economy including the Oil market.
Perry Sadorsky - One of the best experts on this subject based on the ideXlab platform.
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the effect of Oil Price volatility on strategic investment
Energy Economics, 2011Co-Authors: Irene Henriques, Perry SadorskyAbstract:In this paper, we investigate how Oil Price volatility affects the strategic investment decisions of a large panel of US firms. This paper uses key insights from the real options literature to develop a model of a company's strategic investment and shows how changes in Oil Price volatility can impact strategic investment decisions. The model is estimated using recently developed generalized method of moment estimation techniques for panel data sets. Empirical results are presented to show that there is a U shaped relationship between Oil Price volatility and firm investment. This is consistent with the predictions from the strategic growth options literature. The results should be useful to decision makers, investors, managers, policy makers and others who need to make strategic investment decisions in an uncertain world.
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Oil Price risk and emerging stock markets
Global Finance Journal, 2006Co-Authors: Syed Abul Basher, Perry SadorskyAbstract:The purpose of this paper is to contribute to the literature on stock markets and energy Prices by studying the impact of Oil Price changes on a large set of emerging stock market returns. The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between Oil Price risk and emerging stock market returns. This paper, thus, represents one of the first comprehensive studies of the impact of Oil Price risk on emerging stock markets. In general we find strong evidence that Oil Price risk impacts stock Price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.
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Oil Price risk and emerging stock markets
International Finance, 2004Co-Authors: Syed Abul Basher, Perry SadorskyAbstract:This paper uses an international multi-factor Arbitrage Pricing Theory (APT) model that allows for both unconditional and conditional risk factors to investigate the relationship between Oil Price risk and emerging stock market returns. In general we find strong evidence that Oil Price risk impacts stock Price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.
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Oil Price shocks and stock market activity
Energy Economics, 1999Co-Authors: Perry SadorskyAbstract:Results from a vector autoregression show that Oil Prices and Oil Price volatility both play important roles in affecting real stock returns. There is evidence that Oil Price dynamics have changed. After 1986, Oil Price movements explain a larger fraction of the forecast error variance in real stock returns than do interest rates. There is also evidence that Oil Price volatility shocks have asymmetric effects on the economy.
Ronald A. Ratti - One of the best experts on this subject based on the ideXlab platform.
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structural Oil Price shocks and policy uncertainty
Economic Modelling, 2013Co-Authors: Wensheng Kang, Ronald A. RattiAbstract:Abstract Increases in the real Price of Oil not explained by changes in global Oil production or by global real demand for commodities are associated with significant increases in economic policy uncertainty and its four components (the volume of newspaper coverage of policy uncertainty, CPI forecast interquartile range, tax legislation expiration, and federal expenditures forecast interquartile range). Oil-market specific demand shocks account for 31% of conditional variation in economic policy uncertainty and 22.9% of conditional variation in CPI forecast interquartile range after 24 months. Positive Oil shocks due to global real aggregate demand for commodities significantly reduce economic policy uncertainty. Structural Oil Price shocks appear to have long-term consequences for economic policy uncertainty, and to the extent that the latter has impact on real activity the policy connection provides an additional channel by which Oil Price shocks have influence on the economy. As a robustness check, structural Oil Price shocks are significantly associated with economic policy uncertainty in Europe and energy-exporting Canada.
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structural Oil Price shocks and policy uncertainty
MPRA Paper, 2013Co-Authors: Wensheng Kang, Ronald A. RattiAbstract:Increases in the real Price of Oil not explained by changes in global Oil production or by global real demand for commodities are associated with significant increases in economic policy uncertainty. Oil-market specific demand shocks account for 30% of conditional variation in economic policy uncertainty and 21.5% of conditional variation in CPI forecast interquartile range after 24 months. Positive shocks due to global real aggregate demand for commodities significantly reduce economic policy uncertainty. Structural Oil Price shocks appear to have long-term consequences for economic policy uncertainty, and to the extent that the latter has impact on real activity the policy connection provides an additional channel by which Oil Price shocks have influence on the economy. As a robustness check, structural Oil Price shocks are significantly associated with economic policy uncertainty in Europe and energy-exporting Canada.
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Oil Price shocks and stock markets in the u s and 13 european countries
Energy Economics, 2008Co-Authors: Jung Wook Park, Ronald A. RattiAbstract:Oil Price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an Oil exporter shows a statistically significantly positive response of real stock returns to an Oil Price increase. The median result from variance decomposition analysis is that Oil Price shocks account for a statistically significant 6% of the volatility in real stock returns. For many European countries, but not for the U.S., increased volatility of Oil Prices significantly depresses real stock returns. The contribution of Oil Price shocks to variability in real stock returns in the U.S. and most other countries is greater than that of interest rate. An increase in real Oil Price is associated with a significant increase in the short-term interest rate in the U.S. and eight out of 13 European countries within one or two months. Counter to findings for the U.S. and for Norway, there is little evidence of asymmetric effects on real stock returns of positive and negative Oil Price shocks for Oil importing European countries.
Christiane Baumeister - One of the best experts on this subject based on the ideXlab platform.
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is the discretionary income effect of Oil Price shocks a hoax
The Energy Journal, 2018Co-Authors: Christiane Baumeister, Lutz Kilian, Xiaoqing ZhouAbstract:The transmission of Oil Price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real Price of Oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of Oil Price shocks is fundamentally confused about the question of how to quantify the effect of Oil Price shocks.
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is the discretionary income effect of Oil Price shocks a hoax
2017Co-Authors: Christiane Baumeister, Lutz Kilian, Xiaoqing ZhouAbstract:The transmission of Oil Price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real Price of Oil in 2014-16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of Oil Price shocks is fundamentally confused about the question of how to quantify the effect of Oil Price shocks. In particular, she asserts that the discretionary income effect on private consumption, which plays a central role in contemporary accounts of the transmission of Oil Price shocks to the U.S. economy, makes no economic sense and has no economic foundation. Ramey suggests that the literature has too often confused the terms-of-trade effect with this discretionary income effect, and she makes the case that the effects of the Oil Price decline of 2014-16 on private consumption are smaller for a multitude of reasons than suggested by empirical models of the discretionary income effect. We review the main arguments in Ramey (2017) and show that none of her claims hold up to scrutiny.
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Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
Journal of Economic Perspectives, 2016Co-Authors: Christiane Baumeister, Lutz KilianAbstract:It has been 40 years since the Oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about Oil Price shocks. In recent years, a large literature on the economic determinants of Oil Price fluctuations has emerged. Drawing on this literature, we first provide an overview of the causes of all major Oil Price fluctuations between 1973 and 2014. We then discuss why Oil Price fluctuations remain difficult to predict, despite economists' improved understanding of Oil markets. Unexpected Oil Price fluctuations are commonly referred to as Oil Price shocks. We document that, in practice, consumers, policymakers, financial market participants, and economists may have different Oil Price expectations, and that, what may be surprising to some, need not be equally surprising to others.
Chuanguo Zhang - One of the best experts on this subject based on the ideXlab platform.
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the effect of global Oil Price shocks on china s metal markets
Energy Policy, 2016Co-Authors: Chuanguo ZhangAbstract:This paper investigated the impacts of global Oil Price shocks on the whole metal market and two typical metal markets: copper and aluminum. We applied the autoregressive conditional jump intensity (ARJI) model, combining with the generalized conditional heteroscedasticity (GRACH) method, to describe the volatility process and jump behavior in the global Oil market. We separated the Oil Price shocks into positive and negative parts, to analyze whether Oil Price volatility had symmetric impacts on China’s metal markets. We further used the likelihood ratio test to examine the symmetric effect of Oil Price shocks. In addition, we considered the jump behavior in Oil Prices as an input factor to investigate how China’s metal markets are affected when jumps occur in the global Oil market, in contrast to the existing research paying little attention to this issue. Our results indicate that crude Oil Price shocks have significant impacts on China's metal markets and the impacts are symmetric. When compared with aluminum, copper is more easily affected by Oil Price shocks.
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the effect of global Oil Price shocks on china s agricultural commodities
Energy Economics, 2015Co-Authors: Chuanguo ZhangAbstract:Abstract This paper studied the effect of global Oil Price shocks on agricultural commodities in China, including strong wheat, corn, soybean, bean pulp, cotton and natural rubber. We regarded Oil Price volatility process as a combination of continuous process and jump process. We not only separated Oil Price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process, but also investigated how jump behavior influenced these agricultural commodities. We found that the Oil Price was characterized by volatility clustering and jump behavior. At the same time, Oil Price shocks had different effects on agricultural commodities. In addition, the shocks on most agricultural commodities were asymmetric. Only natural rubber was under influence of the jump intensity of the Oil Price, in contrast to strong wheat, corn, soybean, bean pulp and cotton.
