Using a set of cointegration and error correction models with Threshold Autoregressive (TAR) or Momentum Threshold Autoregressive (MTAR) asymmetric adjustment, we investigate whether the effects of fiscal policy (i.e. expansionary or contractionary government spending shocks) on interest rates in Japan are asymmetric or not. Forty years of quarterly series on price of oil, Consumer Price Index ...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

Abstract Using oil futures, we examine expectation formation and how it alters the macroeconomic transmission of shocks. Our empirical framework, where investors learn about persistence oil-price movements, successfully replicates fluctuations in futures since Late 1990s. By embedding this learning mechanism an estimated model, document that increase TFP-driven demand largely accounts for inves...