Oil price volatility, investment and sectoral responses: The Thai experience
نویسندگان
چکیده
منابع مشابه
Forecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملCollateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs∗
The recent economic crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. This paper introduces a dynamic general equilibrium model with aggregate shocks, potentially incomplete markets and heterogeneous agents to investigate this role of financ...
متن کاملPermanent and transitory oil volatility and aggregate investment in Malaysia
This paper investigates the relation between aggregate investment and oil volatility and its permanent and transitory components for a developing country, Malaysia. In the paper, the components generalized autoregressive conditional heteroskedasticity (CGARCH) model is utilized to decompose conditional oil volatility into permanent oil volatility and transitory oil volatility. Respectively refl...
متن کاملOPEC news announcements: Effects on oil price expectation and volatility
a r t i c l e i n f o JEL classifications: C51 N70 Keywords: Crude oil price volatility GARCH Covariates Modified dummy variables OPEC announcements WTI crude oil Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (n...
متن کاملSectoral Price Facts in a Sticky - Price
We develop a multi-sector sticky-price DSGE model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow response of prices to aggregate shocks. In turn, labor-market segmentation at the sectoral level induces within-sector pricing substitutability,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Developing Areas
سال: 2016
ISSN: 1548-2278
DOI: 10.1353/jda.2016.0097