The nonlinear effect of oil price shocks on financial stress: Evidence from China

This paper examines the nonlinear effects of different types of oil price shocks on China’s financial stress index (FSI). For this purpose, we use newly proposed framework by Ready (2018) to decompose oil prices into supply, demand and risk shocks. Then, we use a Markov regime-switching (MRS) model to investigate the nonlinear effects of these oil price shocks on China’s FSI. The empirical results show that the effects of three oil price shocks are nonlinear under different regimes. In particular, oil supply shocks mainly have a significantly positive effect on China’s FSI in the low-volatility state; demand shocks have negative effects on China’s FSI in different regimes, but this effect is larger in the low-volatility state; the effect of risk shocks on China’s FSI is the opposite, and it is positive in the high-volatility state but negative in the low-volatility state.     

Oil price shocks and unemployment in Central and Eastern Europe

The aim of this paper is to examine the effect of oil price movements on unemployment in Central and Eastern Europe. We do this by disentangling oil prices movements by their sign and from there we analyse the separate effects of positive and negative movements of oil prices on unemployment rates. We find that, although oil prices and unemployment are not correlated very much in the short run, the effect of oil price shocks on the natural rate of unemployment goes in the same direction, so that increases or decreases in oil prices increase or decrease the natural rate of unemployment.     

The macroeconomic effects of uncertainty shocks: The role of the financial channel

This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector autoregression (ST-FAVAR) and a large monthly panel of U.S. macroeconomic and financial indicators in our estimation. Our findings are twofold. First, while an unanticipated increase in uncertainty has adverse effects on the real economy and financial markets, the effects are quantitatively larger during recessions. Second, the financial channel is important in the transmission of uncertainty shocks, with a greater role during recessions and in the short run.     

Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile

We analyze the impact of oil price shocks on the macroeconomic fundamentals in emerging economies in three regions that have different resource endowments. The existing literature on emerging economies remains inconclusive on how regional factors and resource characteristics affect the response of macroeconomic variables to oil price shocks. We show that (1) exports in Europe and Central Asia are driven by oil more than East Asia and the Pacific and that (2) policy makers in East Asia and the Pacific should be concerned about real exchange appreciation following a positive oil shock to mitigate losses in the non-oil export market. Analysis by resource endowment further reveals that, in less-resource-intensive economies, an oil price shock causes large variations in consumption and has a negative and persistent impact on the real gross domestic product (GDP). In mineral-exporting economies, real GDP and interest rates are driven largely by oil price shocks. The response of real GDP in mineral-exporting economies is short lived. In oil-exporting economies, only real GDP has a large variation in response to oil price shocks. Our findings highlight the need for customized policy responses to oil price shocks, depending on resource endowments, as we show that a “one size fits all" policy does not exist.     

Identifying credit demand,financial intermediation,and supply of funds shocks: A structural VAR approach

In this paper, we identify three exogenous shocks to credit market: demand for credit, supply of funds into the financial system, and the willingness to lend of financial institutions (financial intermediation), and also, determine the contribution of these shocks to fluctuations in the credit market and overall economic activity. We estimate a structural vector autoregression model where the three credit shocks are identified with a set of sign restrictions motivated by a simple partial equilibrium model of financial intermediation. We find that the credit demand shock explains significantly the variations in the long-term loan rate proxied by the Moody’s Baa corporate bond yield, while the supply of funds shock contributes to most of the fluctuations in the short-term commercial paper rate. The financial intermediation shock drives most of the fluctuations in the quantity of loans as well as the spread between the Baa and commercial paper rates. Of the credit shocks, we find that the financial intermediation shock has the largest impact on real economic activity. In fact, our analysis implies that the sharp decline in output during the 2007–2009 financial crisis is largely attributable to the financial intermediation shock, along with shocks originating outside of the financial system.     

The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach

This paper investigates the impact of credit supply shocks on the macroeconomy and estimates a new financial conditions index. We calculated two credit supply factors using a time-varying parameter FAVAR model. The first factor is identified as the willingness to lend, while the second factor is the lending capacity. The impact of these two types of shocks and their changes over time is examined using Hungarian data. The two types of lending shocks affect macro variables rather differently: a positive lending capacity shock (in a banking system mostly owned by non-residents) influences GDP through a decrease in country risk and the easing of monetary policy, while willingness to lend primarily increases lending activity. The two financial shocks also differ in terms of their evolution over time: deviations from the average in the impact of a willingness to lend shock usually occur for short periods of time and are of a small degree between the various quarters. However, in the case of lending capacity, certain trends can be observed: before the crisis, the stability of the banking system played an increasing role in country risk, whereas after 2008 it appears that monetary policy paid increasing attention to financial stability. Finally, a new type of financial conditions index is quantified based on our estimates, which measures the impact of the banking system’s lending activity on GDP growth.     

Oil structural shocks,bank-level characteristics,and systemic risk: Evidence from dual banking systems

By performing a structural VAR analysis on oil price shocks, we provide an evidence on how the origins of oil price shocks impact the risk level of banks in oil-exporting countries and whether bank-level characteristics can influence the sensitivity of risk to oil shocks. When conducting panel regression analysis, we document the following findings. First, not all shocks have the same effect on bank risk. Due to oil supply shocks, the increase in oil price raises bank risk, whereas the similar increase in price due to economic expansion or oil-market specific demand reduces that risk. Second, the business model (whether the bank is Islamic or conventional), size, income diversification, profitability, and financial leverage influence the bank risk exposure to oil shocks differently. Third, the two major recent crises (global financial crises and COVID-19 pandemic) magnified bank risk exposure to oil supply shocks and speculative oil demand shocks. Overall, the structural oil shocks explain a large fraction of the variation in financial stability in GCC countries.     

Structural analysis and forecast of gold price returns

Gold has multiple attributes and its price is affected by various factors in the market. This paper studies the dynamic relationship between the gold price returns and its affecting factors. Then we use the STL-ETS, neural network and Bayesian structural time series model to predict the gold price returns, and compare their performance with the benchmark models. The results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns, the shocks of the US dollar index have the negative effect on gold price returns. And the fluctuation of gold price returns mainly depends on crude oil price returns shocks. STL-ETS model can accurately fit the fluctuation trend of the gold price returns and improve prediction accuracy.     

Oil price shocks,geopolitical risks,and green bond market dynamics

This research explores the causal relation among oil price, geopolitical risks, and green bond index in the United States from December 2013 to January 2019. Unlike the conventional linear model specification used in earlier works, we evaluate causal relations based on Granger-causality in quantile analysis. Our empirical results reveal unidirectional Granger-causality from geopolitical risk to oil price at the extreme quantiles. We also observe a significant bi-directional causality from oil price to green bond index for the lower quantiles. Findings also reveal causality from geopolitical risk to green bond index in the lower quantiles of the distribution. Therefore, knowledge of these causal relationships can help policy makers to evaluate and implement effective policies to prevent sudden and substantial oil price shocks and geopolitical risk.     

House price synchronization across the US states: The role of structural oil shocks

This paper analyzes the impact of disentangled oil shocks on the synchronization in housing price movements across all the US states plus DC. Using a Bayesian dynamic factor model, the house price movements are decomposed into national, regional, and state-specific factors. We then study the impact of oil-specific supply and demand, inventory accumulation, and global demand shocks on the national factor using linear and nonlinear local projection methods. The impulse response analyses suggest that oil-specific supply and consumption demand shocks are most important in driving the national factor. Moreover, as observed from the regime-specific local projection model, these two shocks are found to have a relatively stronger impact in a bearish rather than a bullish national housing market. Our results have important policy implications.     

浅析美军供应链保障模式及对我军的启示

精确、及时、高效的后勤保障是夺取现代战争的关键因素。美军利用供应链理论。借鉴现代物流企业先进的供应链管理理念，优化其物流系统，使其后勤保障系统不断成熟与发展，实现了适时、适地、适量的后勤保障。美军应用供应链理论的成功经验及其存在的不足为我军提供了有益的启示。     

Economic policy uncertainty,oil price volatility and stock market returns: Evidence from a nonlinear model

This paper investigates the nonlinear relationship between economic policy uncertainty, oil price volatility and stock market returns for 25 countries by applying the panel smooth transition regression model. We find that oil price volatility has a negative effect on stock returns, and this effect increases with economic policy uncertainty. Furthermore, there is pronounced heterogeneity in responses. First, oil-exporting countries whose economies depend more on oil prices respond more strongly to oil price volatility than oil-importing countries. Second, stock returns of developing countries are more susceptible to oil price volatility than that of developed countries. Third, crisis plays a crucial role in the relation between oil price volatility and stock returns.     

Urban Households’ Cooking Oil and Fat Consumption Patterns in Turkey: Quality Vs. Quantity

This article investigates households’ cooking oil and fat consumption patterns in Turkey using data from household budget surveys. The almost ideal demand system was employed to analyze demand parameters and elasticities for major five types of oil. Prices were adjusted for quality and the demographic translation method was used to incorporate to demographic variables. Finally, the two stage generalized demand model was used to take into account censory of the dependent variable. Results showed that higher-income and higher-educated consumers consume more quality and healthy oil such as olive oil than lower-income and less educated consumers. According to income elasticities, lower-income consumers are more sensitive to income changes compare to higher-income consumers. Moreover, lower-income consumers are more prices sensitive to olive oil and corn oil than are higher-income consumers.     

The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility index (USDCNYV1M) changes. Through a TVP-VAR model, we analyse the time-varying uncertainty transmission effects across the three markets, measured by the changes in implied volatility indices. The empirical results show that the OVX changes are the dominant factor, which has a positive impact on the USDCNYV1M changes and the VXFXI changes during periods of important political and economic events. Moreover, USDCNYV1M changes are the key factor affecting the impact of OVX changes on VXFXI changes. When the oil crisis, exchange rate reform, and stock market crash occurred during 2014–2016, the positive effects of uncertainty transmission among the oil market, the Chinese stock market, and the bilateral exchange rate are significantly strengthened. Finally, we find that the positive effects are significant in the short term but diminish over time.     

The effect of exchange rate volatility on U.S. bilateral trade with Africa: A symmetric and asymmetric analysis

The impact of exchange rate volatility on U.S. trade with the world or on U.S. trade with major partners has been assessed by many researchers, but none have considered the case of U.S. trade with African nations. We fill this gap by assessing the symmetric and asymmetric impact of the real bilateral exchange rate volatility between the U.S. dollar and each African partner’s currency on the U.S. trade flows with each of the 20 partners from Africa. We found asymmetric short-run effects of exchange rate volatility on almost all U.S. exports to and imports from each of the 20 countries. In addition, significant long-run asymmetric effects were discovered in the case of U.S. exports to 15 countries and U.S. imports from 12 countries. Our findings are partner-specific.     

Public inputs and dynamic producer behavior: endogenous growth in U.S. agriculture

This paper is an attempt to understand the impact of public R&D and public infrastructure on the performance of the U.S. agricultural sector during the last part of the twentieth century. A neoclassical Solow growth model is not sufficient for this understanding given the sustained growth performance of the sector. We base our analysis on a well-known endogenous growth model, the ‘AK model’ where non-convexities are introduced through non-rival inputs. Based on these models and within the dynamic models that rationalize private and public decision making, we have identified three testable hypotheses regarding the aggregate agricultural production technology. They are: (1) increasing returns to scale over all inputs; (2) positive effect of additional units of public inputs on the long-run demand for private capital; and (3) negative impact of public inputs on cost. They are tested using two estimation procedures on two data sets for U.S. agriculture. One, covering the period 1948–1994, developed by USDA, the other, covering the period 1926–1990, from Thirtle et al. Maximum likelihood estimates do not conform to the regularity and behavioral properties of the economic model rendering them unusable for testing these hypotheses. Bayesian estimates, although not totally satisfactory, do not reject the hypotheses after prior imposition of some of the regularity conditions. This supports the notion of an important role for public inputs on the rapid and sustained growth of the sector. We calculate that, on average, one additional dollar spent on public R&D stock reduces private cost by $6.5, implying a return on these public expenses of 190%.