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Citations for "Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries"

by Cologni, Alessandro & Manera, Matteo

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  1. Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Post-Print hal-00822012, HAL.
  2. Sasa Zikovic, 2011. "Measuring risk of crude oil at extreme quantiles," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 29(1), pages 9-31.
  3. Valadkhani, Abbas, 2014. "Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century," Energy Economics, Elsevier, vol. 45(C), pages 33-44.
  4. Le, Thai-Ha & Chang, Youngho, 2011. "Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach," MPRA Paper 33030, University Library of Munich, Germany.
  5. Fernando Pigeard de Almeida Prado & Alex Luiz Ferreira Jaylson Jair da Silveira, . "The Alcohol Price and the Flex Cars," EcoMod2007 23900067, EcoMod.
  6. Mohanty, Sunil K. & Nandha, Mohan & Turkistani, Abdullah Q. & Alaitani, Muhammed Y., 2011. "Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries," Global Finance Journal, Elsevier, vol. 22(1), pages 42-55.
  7. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  8. Chin Wen Cheong, 2010. "A Variance Ratio Test of Random Walk in Energy Spot Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 105-117, January.
  9. Śmiech, Sławomir & Papież, Monika, 2013. "Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market," Economics Letters, Elsevier, vol. 118(1), pages 199-202.
  10. Rigoberto Ariel Yépez-García & Luis San Vicente Portes & Luis Enrique García, 2013. "Planning for Higher Oil Prices : Power Sector Impact in Latin America and the Caribbean," World Bank Other Operational Studies 17547, The World Bank.
  11. G. Peersman & I. Van Robays & -, 2009. "Cross-Country Differences in the Effects of Oil Shocks," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/629, Ghent University, Faculty of Economics and Business Administration.
  12. Gao, Liping & Kim, Hyeongwoo & Saba, Richard, 2013. "How Does the Oil Price Shock Affect Consumers?," MPRA Paper 49565, University Library of Munich, Germany.
  13. Amine LAHIANI & Mohamed EL HEDI AROURI & Duc KHUONG NGUYEN, . "Forecasting the Conditional Volatility of Spot and Futures Oil Prices with Structural Breaks and Long Memory Models," EcoMod2010 259600102, EcoMod.
  14. Mohamed El Hedi Arouri & Duc Khuong Nguyen, 2010. "Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade," Working Papers hal-00507823, HAL.
  15. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
  16. Aktas, Erkan & Özenç, Çiğdem & Arıca, Feyza, 2010. "The Impact of Oil Prices in Turkey on Macroeconomics," MPRA Paper 8658, University Library of Munich, Germany, revised 15 Jun 2010.
  17. Sofía B. Ramos & Helena Veiga, 2009. "Risk factors in oil and gas industry returns: international evidence," Statistics and Econometrics Working Papers ws096920, Universidad Carlos III, Departamento de Estadística y Econometría.
  18. Imran Shah, 2012. "Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies," Bristol Economics Discussion Papers 12/626, Department of Economics, University of Bristol, UK.
  19. Duc Khuong Nguyen & Mohamed Arouri & Amine Lahiani, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," EcoMod2011 2820, EcoMod.
  20. Le, Thai-Ha & Chang, Youngho, 2011. "The impact of oil price fluctuations on stock markets in developed and emerging economies," MPRA Paper 31753, University Library of Munich, Germany.
  21. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  22. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition.
  23. Fowowe, Babajide, 2013. "Jump dynamics in the relationship between oil prices and the stock market: Evidence from Nigeria," Energy, Elsevier, vol. 56(C), pages 31-38.
  24. Farzanegan, Mohammad Reza, 2012. "Does the Iranian oil supply matter for the oil prices?," MPRA Paper 36030, University Library of Munich, Germany.
  25. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, vol. 33(5), pages 924-935, September.
  26. Moez Khalfallah & Bruno-Laurent Moschetto & Frédéric Teulon, 2014. "Evaluation of the profitability of companies financed by venture capital (CVC) listed on the French market," Working Papers 2014-085, Department of Research, Ipag Business School.
  27. Rania Jammazi & Duc Khuong Nguyen, 2014. "Responses of international stock markets to oil price surges: a regimeswitching perspective," Working Papers 2014-080, Department of Research, Ipag Business School.
  28. Mohamed EL HEDI AROURI & Philippe FOULQUIER & Julien FOUQUAU, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2011011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  29. Christophe Rault & ohamed El Hedi AROURI, 2009. "Oil prices and stock markets: what drives what in the Gulf Corporation Council countries?," William Davidson Institute Working Papers Series wp960, William Davidson Institute at the University of Michigan.
  30. Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  31. Wang, Xiao & Zhang, Chuanguo, 2014. "The impacts of global oil price shocks on China׳s fundamental industries," Energy Policy, Elsevier, vol. 68(C), pages 394-402.
  32. 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.
  33. Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu, 2014. "Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness," Energy Economics, Elsevier, vol. 42(C), pages 172-182.
  34. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009.
  35. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
  36. Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series 2690, CESifo Group Munich.
  37. 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.
  38. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  39. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
  40. Sukati, Mphumuzi, 2013. "Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software," MPRA Paper 49797, University Library of Munich, Germany.
  41. Ratti, Ronald A. & Vespignani, Joaquin L., 2014. "Oil prices and the economy: A global perspective," MPRA Paper 59407, University Library of Munich, Germany.
  42. Arouri Mohamed El Hedi & Jawadi Fredj, 2010. "Short and long-term links between oil prices and stock markets in Europe," Economics Bulletin, AccessEcon, vol. 30(1), pages 817-828.
  43. Ramos, Sofia B. & Veiga, Helena, 2013. "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, vol. 38(C), pages 136-145.
  44. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
  45. Ratti, Ronald A. & Seol, Youn & Yoon, Kyung Hwan, 2011. "Relative energy price and investment by European firms," Energy Economics, Elsevier, vol. 33(5), pages 721-731, September.
  46. Mohanty, Sunil & Nandha, Mohan & Bota, Gabor, 2010. "Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors," Emerging Markets Review, Elsevier, vol. 11(4), pages 358-372, December.
  47. Hernandez Martinez, Fernando, 2009. "Efectos del incremento del precio del petróleo en la economía española: Análisis de cointegración y de la política monetaria mediante reglas de Taylor
    [Oil price shocks and the spanish economy: Coi
    ," MPRA Paper 18056, University Library of Munich, Germany.
  48. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," MPRA Paper 49007, University Library of Munich, Germany.
  49. Ahmed Atil & Amine Lahiani & Duc Khuong Nguyen, 2014. "Asymmetric and nonlinear passthrough of crude oil prices to gasoline and natural gas prices," Working Papers 2014-569, Department of Research, Ipag Business School.
  50. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
  51. Yoon, Kyung Hwan & Ratti, Ronald A., 2011. "Energy price uncertainty, energy intensity and firm investment," Energy Economics, Elsevier, vol. 33(1), pages 67-78, January.
  52. Tang, Weiqi & Wu, Libo & Zhang, ZhongXiang, 2009. "Oil price shocks and their short- and long-term effects on the Chinese economy," MPRA Paper 14703, University Library of Munich, Germany.
  53. Akbar Komijani & Nadiya Gandali Alikhani & Esmaeil Naderi, 2013. "The Long-run and Short-run Effects of Crude Oil Price on Methanol Market in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 3(1), pages 43-50.
  54. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CARF F-Series CARF-F-157, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  55. Ferreira, Alex Luiz & de Almeida Prado, Fernando Pigeard & da Silveira, Jaylson Jair, 2009. "Flex cars and the alcohol price," Energy Economics, Elsevier, vol. 31(3), pages 382-394, May.
  56. Chittedi, Krishnareddy, 2011. "Does oil price matter for Indian stock markets?," MPRA Paper 35334, University Library of Munich, Germany, revised 01 Dec 2011.
  57. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
  58. Wensheng Kang & Ronald A. Ratti, 2014. "Policy Uncertainty in China, Oil Shocks and Stock Returns," CAMA Working Papers 2014-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  59. Shigeki Ono, 2011. "Oil Price Shocks and Stock Markets in BRICs," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 8(1), pages 29-45, June.
  60. Virjinia Jeliazkova, 2010. "Effects of the Dynamics of the Oil Price – Theoretical and Empirical Bases," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 127-165.
  61. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Papers wuwp166, Vienna University of Economics and Business, Department of Economics.
  62. Fallahi, Firouz, 2011. "Causal relationship between energy consumption (EC) and GDP: A Markov-switching (MS) causality," Energy, Elsevier, vol. 36(7), pages 4165-4170.
  63. Sumit Ghosh & N. Sivakumar, 2015. "Beta Clustering of Impact of Crude-Oil Prices on the Indian Economy," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(1), pages 24-34.
  64. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests," Working Papers 2014-299, Department of Research, Ipag Business School.
  65. 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.
  66. Narayan, Paresh Kumar & Wong, Philip, 2009. "A panel data analysis of the determinants of oil consumption: The case of Australia," Applied Energy, Elsevier, vol. 86(12), pages 2771-2775, December.
  67. 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.
  68. George Filis & Ioannis Chatziantoniou, 2014. "Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 709-729, May.
  69. Delavari, Majid & Gandali Alikhani, Nadiya, 2013. "The Dynamic Effects of Crude Oil and Natural Gas Prices on Iran's Methanol," MPRA Paper 49733, University Library of Munich, Germany.
  70. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
  71. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
  72. 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.
  73. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, vol. 30(5), pages 2673-2685, September.
  74. Rizvi, Aun & Masih, Mansur, 2014. "Oil price shocks and GCC capital markets: who drives whom?," MPRA Paper 56993, University Library of Munich, Germany.
  75. Jammazi, Rania & Aloui, Chaker, 2010. "Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns," Energy Policy, Elsevier, vol. 38(3), pages 1415-1435, March.
  76. Rafiq, Shuddhasawtta & Salim, Ruhul & Bloch, Harry, 2009. "Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy," Resources Policy, Elsevier, vol. 34(3), pages 121-132, September.
  77. Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "A structural VAR analysis of electricity consumption and real GDP: Evidence from the G7 countries," Energy Policy, Elsevier, vol. 36(7), pages 2765-2769, July.
  78. Mohamed El Hedi Arouri & Jamel Jouini & Duc Khuong Nguyen, 2013. "On the relationship between world oil prices and GCC stock markets," Working Papers hal-00798037, HAL.
  79. Evangelia Papapetrou, 2013. "Oil prices and economic activity in Greece," Economic Change and Restructuring, Springer, vol. 46(4), pages 385-397, November.
  80. 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.
  81. Thai-Ha LE & Youngho CHANG, 2011. "Dynamics Between Strategic Commodities and Financial Variables," Economic Growth Centre Working Paper Series 1104, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  82. 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.
  83. Jbir, Rafik & Zouari-Ghorbel, Sonia, 2009. "Recent oil price shock and Tunisian economy," Energy Policy, Elsevier, vol. 37(3), pages 1041-1051, March.
  84. Behmiri, Niaz Bashiri & Pires Manso, José Ramos, 2014. "The linkage between crude oil consumption and economic growth in Latin America: The panel framework investigations for multiple regions," Energy, Elsevier, vol. 72(C), pages 233-241.
  85. Huang, Wen-Hsiu & Chao, Ming-Che, 2012. "The effects of oil prices on the price indices in Taiwan: International or domestic oil prices matter?," Energy Policy, Elsevier, vol. 45(C), pages 730-738.
  86. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2014. "Firm return volatility and economic gains: The role of oil prices," Economic Modelling, Elsevier, vol. 38(C), pages 142-151.
  87. Hasanov, Mübariz & Telatar, Erdinc, 2011. "A re-examination of stationarity of energy consumption: Evidence from new unit root tests," Energy Policy, Elsevier, vol. 39(12), pages 7726-7738.
  88. 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.
  89. Duc Khuong Nguyen & Ricardo M. Sousa & Gazi Salah Uddin, 2014. "Testing for asymmetric causality from U.S. equity returns to commodity futures returns," Working Papers 2014-545, Department of Research, Ipag Business School.
  90. Heni Boubaker & Khaled Guesmi & Duc Khuong Nguyen, 2014. "Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysis," Working Papers 2014-442, Department of Research, Ipag Business School.
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