a r t i c l e i n f o JEL classification: F1 F4 Q43 N75 Keywords: Oil price shock Trade balance VAR Granger non-causality test Gregory-Hansen cointegration test This study aims to examine whether a large part of the variability of trade balances and their oil and non-oil components is associated with oil price fluctuations. The long-run causality running from oil price to overall, oil and non-o...

In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...

the regulated price policy may be implemented for some products. it is generally implemented for some products such as electricity, natural gas, water and so on that are supplied as monopolist. the regulated price shock on these products may lead to an adjustment in the endowments of primary factors. the aim of this paper is to investigate the effects of a regulated price shock on price indices...

The current study investigates the impact of real oil price shocks on Eurozone banking sector from February 2009 to 2022, using Structural Vector Autoregressive method distinguish reaction between bank indices and three structural indicators in market shocks. include global demand, supply shock, specific Our findings show that responds positively toward an oil-specific demand shock (oil price) ...

a r t i c l e i n f o Most CGE models are real and cannot be easily used to study monetary policies. This paper develops a financial CGE model with interaction between real and financial side of the Chinese economy and applies the model to study oil price shocks and monetary policy responses. Unlike macro models in the current literature, the financial CGE model can be implemented to look into ...

a r t i c l e i n f o This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil well in Titusville, Pennsylvania in 1858. We estimate a two-regime model that ...

In extensive oil-related literature, less attention has been paid to Asia and particularly little evidence is known for oil-refining countries. This paper examines how the economy of an country reacts oil price shock performs cross-country comparisons with oil-exporting oil-importing Singapore (oil refiner), Japan importer), Malaysia exporter) are analysed through a structural vector autoregres...

This paper explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventor...