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Citations for "Oil prices and economic activity: An asymmetric cointegration approach"

by Lardic, Sandrine & Mignon, Valérie

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  1. Lutz, Christian & Meyer, Bernd, 2009. "Economic impacts of higher oil and gas prices: The role of international trade for Germany," Energy Economics, Elsevier, vol. 31(6), pages 882-887, November.
  2. Chin Wen Cheong & Ng Sew Lai & Nurul Afidah Mohmad Yusof & Khor Chia Ying, 2012. "Asymmetric Fractionally Integrated Volatility Modelling of Asian Equity Markets under the Subprime Mortgage Crisis," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 70-84, January.
  3. Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 491-511.
  4. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, vol. 30(3), pages 919-936, May.
  5. Burcu Kiran, 2011. "Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries," Prague Economic Papers, University of Economics, Prague, vol. 2011(2), pages 177-189.
  6. Dogrul, H. Günsel & Soytas, Ugur, 2010. "Relationship between oil prices, interest rate, and unemployment: Evidence from an emerging market," Energy Economics, Elsevier, vol. 32(6), pages 1523-1528, November.
  7. Peersman, Gert & Van Robays, Ine, 2012. "Cross-country differences in the effects of oil shocks," Energy Economics, Elsevier, vol. 34(5), pages 1532-1547.
  8. repec:ipg:wpaper:2014-569 is not listed on IDEAS
  9. Yeh, Fang-Yu & Hu, Jin-Li & Lin, Cheng-Hsun, 2012. "Asymmetric impacts of international energy shocks on macroeconomic activities," Energy Policy, Elsevier, vol. 44(C), pages 10-22.
  10. F. Dilvin Taşkin & Efe Çağlar Çağlı & Umut Halaç, 2016. "The impact of oil price shocks on the volatility of the Turkish stock market," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 6(1), pages 1-23.
  11. Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  12. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  13. Citak, Yusuf Ensar & Masih, Mansur, 2017. "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper 79453, University Library of Munich, Germany.
  14. Mohamed Arouri & Christophe Rault, 2010. "Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries," International Economics, CEPII research center, issue 122, pages 41-56.
  15. Tsai, Chun-Li, 2015. "How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?," Energy Economics, Elsevier, vol. 50(C), pages 47-62.
  16. Mohamed El Hédi Arouri & Philippe Foulquier & Julien Fouquau, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, vol. 77(1), pages 5-30.
  17. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
  18. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short," Working Papers 2014-81, Department of Research, Ipag Business School.
  19. Fredj Jawadi, 2011. "Nonlinear mean reversion in oil and stock markets," Review of Accounting and Finance, Emerald Group Publishing, vol. 10(3), pages 316-326, August.
  20. Alom, Fardous, 2011. "Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model," 2011 Conference, August 25-26, 2011, Nelson, New Zealand 115346, New Zealand Agricultural and Resource Economics Society.
  21. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014. "What explain the short-term dynamics of the prices of CO2 emissions?," Energy Economics, Elsevier, vol. 46(C), pages 122-135.
  22. Fizaine, Florian & Court, Victor, 2016. "Energy expenditure, economic growth, and the minimum EROI of society," Energy Policy, Elsevier, vol. 95(C), pages 172-186.
  23. Arouri Mohamed el hédi & Fouquau Julien, 2009. "On the short-term influence of oil price changes on stock markets in gcc countries: linear and nonlinear analyses," Economics Bulletin, AccessEcon, vol. 29(2), pages 795-804.
  24. Mehmet Balcilar & Rangan Gupta & Ýsmail H. Gençb, 2016. "The links between crude oil prices and GCC stock markets: Evidence from time-varying Granger causality tests," Working Papers 15-30, Eastern Mediterranean University, Department of Economics.
  25. Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
  26. Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, vol. 32(2), pages 490-495, March.
  27. Mohamed El Hédi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
  28. Wang, Chih-Wei & Veiga, Helena & Ramos, Sofía B., 2012. "Asymmetric long-run effects in the oil industry," DES - Working Papers. Statistics and Econometrics. WS ws120502, Universidad Carlos III de Madrid. Departamento de Estadística.
  29. El Hedi Arouri, Mohamed & Huong Dinh, Thanh & Khuong Nguyen, Duc, 2010. "Time-varying predictability in crude-oil markets: the case of GCC countries," Energy Policy, Elsevier, vol. 38(8), pages 4371-4380, August.
  30. Arouri, Mohamed El Hedi & Lahiani, Amine & Nguyen, Duc Khuong, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," Economic Modelling, Elsevier, vol. 28(4), pages 1815-1825, July.
  31. Korhonen, Iikka & Ledyaeva, Svetlana, 2010. "Trade linkages and macroeconomic effects of the price of oil," Energy Economics, Elsevier, vol. 32(4), pages 848-856, July.
  32. Mohamed Amine BOUTABA, "undated". "Does Carbon Affect European Oil Companies' Equity Values?," EcoMod2009 21500018, EcoMod.
  33. Bülent Alta & Mert Topcu & Ebru Erdoðan, 2013. "Nevsehir University, Department of Economics, Nevsehir, Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 3(Special), pages 7-13.
  34. Ebru Caglayan Akay & Sinem Guler Kangalli Uyar, 2016. "Determining the Functional Form of Relationships between Oil Prices and Macroeconomic Variables: The Case of Mexico, Indonesia, South Korea, Turkey Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 880-891.
  35. Nusair, Salah A., 2016. "The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis," Energy Policy, Elsevier, vol. 91(C), pages 256-267.
  36. Evangelia Papapetrou, 2013. "Oil prices and economic activity in Greece," Economic Change and Restructuring, Springer, vol. 46(4), pages 385-397, November.
  37. Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
  38. Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
  39. Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
  40. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
  41. Jou, Rong-Chang & Huang, Wen-Hsiu & Wu, Yuan-Chan & Chao, Ming-Che, 2012. "The asymmetric income effect on household vehicle ownership in Taiwan: A threshold cointegration approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(4), pages 696-706.
  42. Lin, Boqiang & Xie, Chunping, 2013. "Estimation on oil demand and oil saving potential of China's road transport sector," Energy Policy, Elsevier, vol. 61(C), pages 472-482.
  43. Ibrahim Halil Eksi & Mehmet Senturk & H. Semih Yildirim, 2012. "Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(4), pages 463-474, September.
  44. Chen, Shiu-Sheng & Hsu, Kai-Wei, 2012. "Reverse globalization: Does high oil price volatility discourage international trade?," Energy Economics, Elsevier, vol. 34(5), pages 1634-1643.
  45. Ajmi, Ahdi Noomen & El Montasser, Ghassen & Nguyen, Duc Khuong, 2013. "Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests," Economic Modelling, Elsevier, vol. 35(C), pages 126-133.
  46. Fayyad, Abdallah & Daly, Kevin, 2011. "The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA," Emerging Markets Review, Elsevier, vol. 12(1), pages 61-78, March.
  47. Ahdi Noomen Ajmi & Ghassen El-montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2167-2177, June.
  48. Natanelov, Valeri & Alam, Mohammad Jahangir & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114626, European Association of Agricultural Economists.
  49. Mohamed E AROURI & Fredj JAWADI & Duc K NGUYEN, 2012. "Nonlinear modeling of oil and stock price dynamics: segmentation or time-varying integration?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2481-2489.
  50. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  51. Kristjanpoller, Werner D. & Concha, Diego, 2016. "Impact of fuel price fluctuations on airline stock returns," Applied Energy, Elsevier, vol. 178(C), pages 496-504.
  52. Laure Crusson & Muriel Barlet, 2009. "Quel impact des variations du prix du pétrole sur la croissance française ?," Économie et Prévision, Programme National Persée, vol. 188(2), pages 23-41.
  53. Sahbi FARHANI, 2012. "Impact of Oil Price Increases on U.S. Economic Growth:Causality Analysis and Study of the Weakening Effects in Relationship," International Journal of Energy Economics and Policy, Econjournals, vol. 2(3), pages 108-122.
  54. Wang, Yu Shan, 2013. "Oil price effects on personal consumption expenditures," Energy Economics, Elsevier, vol. 36(C), pages 198-204.
  55. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
  56. Emmanuel Anoruo, 2011. "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(3), pages 75-92, December.
  57. Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
  58. Kisswani, Khalid M. & Nusair, Salah A., 2013. "Non-linearities in the dynamics of oil prices," Energy Economics, Elsevier, vol. 36(C), pages 341-353.
  59. Shiu-Sheng Chen and Kai-Wei Hsu, 2013. "Oil Price Volatility and Bilateral Trade," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  60. Atil, Ahmed & Lahiani, Amine & Nguyen, Duc Khuong, 2014. "Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices," Energy Policy, Elsevier, vol. 65(C), pages 567-573.
  61. Sukcharoen, Kunlapath & Zohrabyan, Tatevik & Leatham, David & Wu, Ximing, 2014. "Interdependence of oil prices and stock market indices: A copula approach," Energy Economics, Elsevier, vol. 44(C), pages 331-339.
  62. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
  63. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
  64. repec:ipg:wpaper:2014-085 is not listed on IDEAS
  65. Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015. "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 737-746, November.
  66. Elbeck, Matt, 2010. "Advancing the design of a dynamic petro-dollar currency basket," Energy Policy, Elsevier, vol. 38(4), pages 1938-1945, April.
  67. Akoum, Ibrahim & Graham, Michael & Kivihaho, Jarno & Nikkinen, Jussi & Omran, Mohammed, 2012. "Co-movement of oil and stock prices in the GCC region: A wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 385-394.
  68. Hedi Arouri, Mohamed El & Khuong Nguyen, Duc, 2010. "Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade," Energy Policy, Elsevier, vol. 38(8), pages 4528-4539, August.
  69. Mehmet Huseyin Bilgin & Giray Gozgor & Gokhan Karabulut, 2015. "The Impact Of World Energy Price Volatility On Aggregate Economic Activity In Developing Asian Economies," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-20.
  70. Florian Fizaine & Victor Court, 2016. "The energy-economic growth relationship: a new insight from the EROI perspective," Working Papers 1601, Chaire Economie du climat.
  71. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  72. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
  73. repec:ipg:wpaper:2014-080 is not listed on IDEAS
  74. Al-mulali, Usama, 2010. "The Impact of Oil Prices on the Exchange Rate and Economic Growth in Norway," MPRA Paper 24447, University Library of Munich, Germany.
  75. Nizar, Muhammad Afdi, 2012. "Dampak Fluktuasi Harga Minyak Dunia Terhadap Perekonomian Indonesia
    [The Impact of World Oil Prices Fluctuation on Indonesia’s Economy]
    ," MPRA Paper 65601, University Library of Munich, Germany.
  76. Aloui, Chaker & Nguyen, Duc Khuong & Njeh, Hassen, 2012. "Assessing the impacts of oil price fluctuations on stock returns in emerging markets," Economic Modelling, Elsevier, vol. 29(6), pages 2686-2695.
  77. Yin, Libo & Yang, Qingyuan, 2016. "Predicting the oil prices: Do technical indicators help?," Energy Economics, Elsevier, vol. 56(C), pages 338-350.
  78. repec:ipg:wpaper:2014-079 is not listed on IDEAS
  79. Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, vol. 28(4), pages 1716-1725, July.
  80. Nicholas Apergis & Alper Aslan & Goodness C. Aye & Rangan Gupta, 2014. "The Asymmetric Effect of Oil Price on Growth across US States," Working Papers 201459, University of Pretoria, Department of Economics.
  81. Igor LEBRUN & Ludovic DOBBELAERE, "undated". "A Macro-econometric Model for the Economy of Lesotho," EcoMod2010 259600102, EcoMod.
  82. repec:ipg:wpaper:2014-081 is not listed on IDEAS
  83. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, Department of Business and Economics, University of Southern Denmark.
  84. Nurmakhanova Mira, 2016. "Oil and Growth Challenge in Kazakhstan," EERC Working Paper Series 16/06e, EERC Research Network, Russia and CIS.
  85. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Do Oil Prices Affect Kuwait Sectoral Stock Prices? Non-Linear Cointegration Evidence," Working Papers 1141, Economic Research Forum, revised 09 2003.
  86. Lescaroux, François, 2008. "Une revue interprétée des élasticités entre le PIB et le prix du pétrole," L'Actualité Economique, Société Canadienne de Science Economique, vol. 84(4), pages 415-447, Décembre.
  87. Arshad, Ameena & Zakaria, Muhammad & Junyang, Xi, 2016. "Energy prices and economic growth in Pakistan: A macro-econometric analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 25-33.
  88. Dhaoui, Abderrazak & Khraief, Naceur, 2014. "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers 2014-12, Kiel Institute for the World Economy (IfW).
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