in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

Should a central bank accommodate energy price shocks? Should the central bank use core inflation or headline inflation with the volatile energy component in its Taylor rule? To answer these questions, we build a dynamic stochastic general equilibrium model with energy use, durable goods, and nominal rigidities to study the effects of an energy price shock and its impact on the macroeconomy whe...

In the past decade changes in oil prices have played a significant role in shaping inflation dynamics in the US and in the euro area, largely through their direct effect on liquid fuels prices. This has revived the controversy on whether fuels consumer prices respond more promptly to positive than to negative oil price shocks. This paper provides fresh evidence on the link between liquid fuels ...

We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni and Ratti (1995), based on a linear analysis of the relationship between output growth and the oil pri...

on one hand, oil is the greatest energy resource in the world and, on the other hand, because of the role of oil revenue in the economic of oil producer countries, such as iran,it is vital for these countries. so it is necessary to recognize different affective parameters on oil market for these countries. in this research, we try to forecast oil price as an important variable in world wide oil...

Acute volatile movements in primary commodity prices have drawn enough interests from empirical researchers. Exports of these commodities account for the bulk of export earnings of developing countries. The traditional demand based framework has been unable to explain the marked deterioration in these prices during 1980s. This paper tries to ascertain the role played by real oil prices in expla...