The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an ...The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an inflation targeting regime is being carried out by the Central Bank of Turkey, determination of such effects is becoming more important. Therefore empirical evidence in this paper will serve as guidance for those countries, which have an in- flation targeting regime. Analyses have been done in the period of October 2005-December 2012 by Markovswitching vector autoregressive （MS-VAR） models which are successful in capturing the nonlinear properties of variables. Using MS-VAR analysis, it is found that there are 2 regimes in the analysis period. Furthermore, regime changes can be dated and the turning points of economic cycles can be determined. In addition, it is found that the effect of the changes in crude oil and domestic gasoline prices on consumer prices and core inflation is not the same under different regimes. Moreover, the sudden increase in gasoline price is more important for consumer price infla- tion than crude oil price shocks. Another finding is the presence of a pass-through effect from oil price and ga- soline price to core inflation.展开更多
Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock ma...Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock market activity,this study investigates the impact of Brent oil price shocks on oil related stocks in Nigeria.Methods:This study uses a vector autoregressive(VAR)model with the impulse response function and the forecast variance decomposition error.Findings:The empirical evidence reveals that oil price shocks have a negative impact on Nigerian oil and gas company stocks.In theory,this situation should apply to oil importing countries and is therefore uncharacteristic of an oil exporting country like Nigeria.Conclusions:The findings suggest that oil companies operating in Nigeria should diversify their investments to protect their business from single-sector market forces,and can also embrace the advantages of outsourcing some of their operations to specialist providers to increase flexibility and reduce operating costs.Finally,for vertically integrated oil and gas companies,oil price hedging and energy risk management will be beneficial because it will mean that these companies will take a position in the crude oil futures market.This will allow for better cash flow management and flexibility.Originality/value:This study extends the existing literature in two distinct ways.First,it provides,to the best of our knowledge,the first examination of the impact of oil price shocks on stock market activities with a focus on the market returns of oil and gas companies listed in the Nigerian Stock Exchange.Second,this study uses daily data because high frequency data contain more information than lower frequency data does,and lower frequency data average out too much important information.展开更多
文摘The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an inflation targeting regime is being carried out by the Central Bank of Turkey, determination of such effects is becoming more important. Therefore empirical evidence in this paper will serve as guidance for those countries, which have an in- flation targeting regime. Analyses have been done in the period of October 2005-December 2012 by Markovswitching vector autoregressive （MS-VAR） models which are successful in capturing the nonlinear properties of variables. Using MS-VAR analysis, it is found that there are 2 regimes in the analysis period. Furthermore, regime changes can be dated and the turning points of economic cycles can be determined. In addition, it is found that the effect of the changes in crude oil and domestic gasoline prices on consumer prices and core inflation is not the same under different regimes. Moreover, the sudden increase in gasoline price is more important for consumer price infla- tion than crude oil price shocks. Another finding is the presence of a pass-through effect from oil price and ga- soline price to core inflation.
基金We would like to disclose that no funding was received in the process of this study.
文摘Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock market activity,this study investigates the impact of Brent oil price shocks on oil related stocks in Nigeria.Methods:This study uses a vector autoregressive(VAR)model with the impulse response function and the forecast variance decomposition error.Findings:The empirical evidence reveals that oil price shocks have a negative impact on Nigerian oil and gas company stocks.In theory,this situation should apply to oil importing countries and is therefore uncharacteristic of an oil exporting country like Nigeria.Conclusions:The findings suggest that oil companies operating in Nigeria should diversify their investments to protect their business from single-sector market forces,and can also embrace the advantages of outsourcing some of their operations to specialist providers to increase flexibility and reduce operating costs.Finally,for vertically integrated oil and gas companies,oil price hedging and energy risk management will be beneficial because it will mean that these companies will take a position in the crude oil futures market.This will allow for better cash flow management and flexibility.Originality/value:This study extends the existing literature in two distinct ways.First,it provides,to the best of our knowledge,the first examination of the impact of oil price shocks on stock market activities with a focus on the market returns of oil and gas companies listed in the Nigerian Stock Exchange.Second,this study uses daily data because high frequency data contain more information than lower frequency data does,and lower frequency data average out too much important information.
