Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach
نویسندگان
چکیده
منابع مشابه
Impacts of Oil Price Shocks on Macroeconomic Variables of Oil Exporting and Importing Countries: A Global VAR Approach
This paper investigates the effects of oil price shocks on real GDP and inflation in selected oil exporting and importing countries using the Global VAR approach. We have used the data for 47 countries over the 38 years from 1979 to 2015 in this research. We have grouped the countries into 21 regions. Our results indicate that firstly that the impact of shocks on the real GDP of oil-exporti...
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How should monetary authorities react to an oil price shock? The New Keynesian literature has concluded that ensuring complete price stability is the optimal thing to do. In contrast, this paper argues that a meaningful trade-off between stabilizing inflation and the welfare relevant output gap arises in a distorted economy once one recognizes (i) that oil (energy) cannot be easily substituted ...
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T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...
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We document that fear about misspecified economic and central bank policies explain 45% of variations in bond option implied volatilities and interest rate volatilities. We endogenize this empirical pattern with a parsimonious equilibrium asset pricing model. In equilibrium, volatility is endogenously driven by fear of not knowing the data generating process that drives future economic and futu...
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Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a...
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ژورنال
عنوان ژورنال: Economic Research-Ekonomska Istraživanja
سال: 2019
ISSN: 1331-677X,1848-9664
DOI: 10.1080/1331677x.2019.1675078