This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain re...

Using data on 17 listed public banks from Russia over the period 2008 to 2016, we analyze whether international oil prices affect bank stability in an oil-dependent country. We resort a Pool Mean Group (PMG) estimator, and show that increase has long-run positive effect Russian stability. While oil-price shocks contribute long run, opposite is recorded for negative shocks. However, no significa...

This paper contributes to the existing literature by investigating impacts of crude oil price shocks on financial markets through an examination effect issuance corporate green bonds. Green bond has been growing fast over past several years; despite this, share bonds in total remains less than 1%. Using multilevel models, this study investigates flow oil-supply, oil-demand, and speculative oil-...

In the light of finite oil reserves, Persian Gulf oil-exporting economies have recently undertaken major investments in their domestic travel and tourism industries. Building on Bayesian SVAR model global market Baumeister Hamilton (2019), we investigate conditional comovement airline stock returns with real prices response to structural supply demand shocks. We find that investing Datastream W...

The purpose of this paper is to identify the changes in the impact of energy shocks on economic activity at different phases of economic development – with an interest in assessing if the economy’s vulnerability and resilience to shocks improved. Using data on the United Kingdom over the last three hundred years, the paper replicates a method introduced by Kilian (2008) to disentangle supply, d...

This paper performs an empirical investigation into the relationship between oil price and stock markets returns for seven countries (Kuwait, Oman, UAE, Bahrain, Qatar, UK and USA) by applying the Vector Auto Regression (VAR) analysis. During this period oil prices have tripled creating a substantial cash surplus for the Gulf Cooperation Council (GCC) Countries while simultaneously creating inc...

Regarding the fact that each country might be a net oil seller or net buyer, and considering its large share in the whole economy, the price of this commodity as well as its volatility could affect all economies around the world.  The impact of oil price volatility on the economy is seemed to be more dominant in Iran rather than any other developed or emerging economies, especially in recent ye...