â â â  â â â  abstract â  using a structural var with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, u.s. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity grou...

This paper studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence beha...

The relationship between oil price shocks and U.S. macroeconomic fluctuations advocated by Hamilton (1983) broke down in the 1980s amidst a new regime of highly volatile oil price movements. Several authors have argued that asymmetric and nonlinear transformations of oil prices restore that relationship, and thus that the economy responds asymmetrically and nonlinearly to oil price shocks. In t...

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ii Acknowledgements We thank the editor, three anonymous referees, Dijk and Timo Wollmershäuser as well as numerous conference and seminar participants...

Abstract   his study employs a structural vector autoregression (SVAR) model to investigate the macroeconomic shocks on Malaysian tourism industry, especially how the economy dynamically responds to oil price shocks, exchange rates, changes in price level, exports, economic growth and tourism income during the study time period from January 2001 to December 2012. The results indicate that oil...

Sudden disruptions, or shocks, to food production can adversely impact access to and trade of food commodities. Seafood is the most traded food commodity and is globally important to human nutrition. The seafood production and trade system is exposed to a variety of disruptions including fishery collapses, natural disasters, oil spills, policy changes, and aquaculture disease outbreaks, aquafee...

This study investigated the asymmetric effects of oil shocks–oil price, demand and supply shocks–on military expenditure in Nigeria. Our confirmed presence short-run long-run asymmetries all three models used. Generally, positive price shocks positively influence vice versa for negative shocks. However, a shock is detrimental to expenditure.

Although a lot of the empirical research have studied the relationship between changes of oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong, and Taiwan). Therefore, the main goal of this paper is to apply a detail monthly data from 1997/7 to 2008/9 to fill up this ...