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The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach

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  1. Bashar, Omar H.M.N. & Wadud, I.K.M. Mokhtarul & Ali Ahmed, Huson Joher, 2013. "Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective," Economic Modelling, Elsevier, vol. 35(C), pages 249-259.
  2. Karali, Berna & Ramirez, Octavio A., 2014. "Macro determinants of volatility and volatility spillover in energy markets," Energy Economics, Elsevier, vol. 46(C), pages 413-421.
  3. Sudeshna Ghosh, 2019. "Environmental Pollution, Income Inequality, and Household Energy Consumption: Evidence from the United Kingdom," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-31, June.
  4. Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
  5. Galadima, Mukhtar Danladi & Aminu, Abubakar Wambai, 2020. "Nonlinear unit root and nonlinear causality in natural gas - economic growth nexus: Evidence from Nigeria," Energy, Elsevier, vol. 190(C).
  6. Mehmet Balcilar & David Roubaud & Ojonugwa Usman & Mark E. Wohar, 2021. "Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?," The World Economy, Wiley Blackwell, vol. 44(1), pages 188-233, January.
  7. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  8. Kandemir Kocaaslan, Ozge, 2019. "Oil price uncertainty and unemployment," Energy Economics, Elsevier, vol. 81(C), pages 577-583.
  9. Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
  10. Hasanov, Mübariz, 2015. "The demand for transport fuels in Turkey," Energy Economics, Elsevier, vol. 51(C), pages 125-134.
  11. Xin Sheng & Rangan Gupta & Qiang Ji, 2023. "The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States," Risks, MDPI, vol. 11(11), pages 1-9, October.
  12. Razmi, Fatemeh & Mohamed, Azali & Chin, Lee & Habibullah, Muzafar Shah, 2015. "The role of monetary policy in macroeconomic volatility of ASEAN-4 countries against oil price shock over time," MPRA Paper 65714, University Library of Munich, Germany.
  13. Omay, Tolga & Hasanov, Mübariz & Uçar, Nuri, 2014. "Energy consumption and economic growth: Evidence from nonlinear panel cointegration and causality tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 36-55.
  14. Grzegorz Przekota & Anna Szczepańska-Przekota, 2022. "Pro-Inflationary Impact of the Oil Market—A Study for Poland," Energies, MDPI, vol. 15(9), pages 1-19, April.
  15. Bello Abdullahi MUHAMMAD & Muhammad Shehu SHUAIBU & Mohammad Junaid ALAM & Lawan Nasiru SALISU, 2023. "The Asymmetric Impact of Oil Price Volatility on Nigeria's Inflation," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 5-16.
  16. 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.
  17. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
  18. Arlan Brucal & Michael Abrigo, 2017. "Can Cheap Oil Hurt Net Importers? Evidence from the Philippines," Working Papers id:12323, eSocialSciences.
  19. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.
  20. Jing Lian Suah, 2024. "The "plucking" model of the unemployment rate floor: Corss-country estimates and empirics," BIS Working Papers 1159, Bank for International Settlements.
  21. Balcilar, Mehmet & Thompson, Kirsten & Gupta, Rangan & van Eyden, Reneé, 2016. "Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 30-43.
  22. Mamothoana Difeto & Reneé van Eyden & Rangan Gupta & Mark E. Wohar, 2018. "Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data," Working Papers 201813, University of Pretoria, Department of Economics.
  23. Nermin Yasar, 2020. "Stationarity Properties of Renewable Energy Consumption in the Commonwealth of Independent States," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 155-159.
  24. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2015. "The Role of Monetary Policy in Macroeconomic Volatility of Association of Southeast Asian Nations-4 Countries against Oil Price Shock over Time," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 731-737.
  25. Ivanovski, Kris & Hailemariam, Abebe, 2022. "Time-varying geopolitical risk and oil prices," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 206-221.
  26. Aghababa, Hajar & Barnett, William A., 2016. "Dynamic structure of the spot price of crude oil: does time aggregation matter?," Energy Economics, Elsevier, vol. 59(C), pages 227-237.
  27. Akan, Taner, 2023. "Can renewable energy mitigate the impacts of inflation and policy interest on climate change?," Renewable Energy, Elsevier, vol. 214(C), pages 255-289.
  28. Razmi, Fatemeh & Azali, M. & Chin, Lee & Shah Habibullah, Muzafar, 2016. "The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis," Energy, Elsevier, vol. 101(C), pages 581-591.
  29. Arlan Brucal & Michael Abrigo, 2017. "Can Cheap Oil Hurt Net Importers? Evidence from the Philippines," Working Papers id:12323, eSocialSciences.
  30. Franco Ruzzenenti & Francesco Picciolo & Andreas Papandreou, 2015. "A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy," Papers 1509.05894, arXiv.org, revised Sep 2015.
  31. Matthias Klumpp, 2017. "Do Forwarders Improve Sustainability Efficiency? Evidence from a European DEA Malmquist Index Calculation," Sustainability, MDPI, vol. 9(5), pages 1-33, May.
  32. Lin, Jie & Xiao, Hao & Chai, Jian, 2023. "Dynamic effects and driving intermediations of oil price shocks on major economies," Energy Economics, Elsevier, vol. 124(C).
  33. Lee, Chien-Chiang & Chiu, Yi-Bin, 2013. "Modeling OECD energy demand: An international panel smooth transition error-correction model," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 372-383.
  34. 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.
  35. Erdem Kilic & Serkan Cankaya, 2020. "Oil prices and economic activity in BRICS and G7 countries," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(4), pages 1315-1342, December.
  36. Ayşen SİVRİKAYA & Mübariz HASANOV, 2019. "Time-Varying and Asymmetric Relationship between Energy Use and Macroeconomic Activity," Sosyoekonomi Journal, Sosyoekonomi Society.
  37. Mehdi Abid & Rafaa Mraihi, 2015. "Disaggregate Energy Consumption Versus Economic Growth in Tunisia: Cointegration and Structural Break Analysis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 6(4), pages 1104-1122, December.
  38. Uğur Akkoç & Anıl Akçağlayan & Gamze Kargın Akkoç, 2021. "The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 1147-1171, November.
  39. Nguyen, Bao H. & Okimoto, Tatsuyoshi, 2019. "Asymmetric reactions of the US natural gas market and economic activity," Energy Economics, Elsevier, vol. 80(C), pages 86-99.
  40. Araç, Ayşen & Hasanov, Mübariz, 2014. "Asymmetries in the dynamic interrelationship between energy consumption and economic growth: Evidence from Turkey," Energy Economics, Elsevier, vol. 44(C), pages 259-269.
  41. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2017. "How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 544-550.
  42. repec:ipg:wpaper:2014-468 is not listed on IDEAS
  43. Roudari, Soheil & Mensi, Walid & Kharusi, Sami Al & Ahmadian-Yazdi, Farzaneh, 2023. "Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?," International Economics, Elsevier, vol. 173(C), pages 343-358.
  44. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
  45. Gupta, Rangan & Pierdzioch, Christian & Salisu, Afees A., 2022. "Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data," Resources Policy, Elsevier, vol. 77(C).
  46. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  47. Bagnai, Alberto & Mongeau Ospina, Christian Alexander, 2016. "“Asymmetric asymmetries” in Eurozone markets gasoline pricing," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 89-99.
  48. Romero-Ávila, Diego & Omay, Tolga, 2022. "Convergence of per capita energy consumption around the world: New evidence from nonlinear panel unit root tests," Energy Economics, Elsevier, vol. 111(C).
  49. Köse, Nezir & Ünal, Emre, 2021. "The effects of the oil price and oil price volatility on inflation in Turkey," Energy, Elsevier, vol. 226(C).
  50. Mehmet Balcilar & David Roubaud & Ojonugwa Usman & Mark E. Wohar, 2019. "Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?," Working Papers 15-49, Eastern Mediterranean University, Department of Economics.
  51. Ikhlaas Gurrib, 2018. "Can an Energy Futures Index Predict US Stock Market Index Movements?," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 230-240.
  52. Liu, Jing-Yu & Lin, Shih-Mo & Xia, Yan & Fan, Ying & Wu, Jie, 2015. "A financial CGE model analysis: Oil price shocks and monetary policy responses in China," Economic Modelling, Elsevier, vol. 51(C), pages 534-543.
  53. Hou, Chenghan & Nguyen, Bao H., 2018. "Understanding the US natural gas market: A Markov switching VAR approach," Energy Economics, Elsevier, vol. 75(C), pages 42-53.
  54. 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.
  55. Çatik, A. Nazif & Önder, Özlem, 2013. "An asymmetric analysis of the relationship between oil prices and output: The case of Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 884-892.
  56. Liu, Renren & Chen, Jianzhong & Wen, Fenghua, 2021. "The nonlinear effect of oil price shocks on financial stress: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  57. van Eyden, Reneé & Difeto, Mamothoana & Gupta, Rangan & Wohar, Mark E., 2019. "Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data," Applied Energy, Elsevier, vol. 233, pages 612-621.
  58. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
  59. Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, vol. 56(C), pages 453-463.
  60. Zulfigarov, Farid & Neuenkirch, Matthias, 2020. "The impact of oil price changes on selected macroeconomic indicators in Azerbaijan," Economic Systems, Elsevier, vol. 44(4).
  61. Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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