This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive s...

A b s t r a c t a r t i c l e i n f o JEL classification: C23 G15 Q43 Keywords: Asymmetric effects International stock markets Oil prices Panel data Oil price volatility Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effect...

a r t i c l e i n f o JEL classification: E52 G10 G14 Keywords: High oil price events Asymmetric impacts of monetary shocks Financing constraints This paper investigates whether a high oil price event that worsens the quality of a firm's balance sheet in turn provides an additional transmission channel to the stock market, which then affects stock returns. We examine the asymmetric impacts of m...

A remarkable feature of the crude oil market is a dramatic rise in oil price volatility over time which has been accompanied by a substantial fall in oil production volatility. We investigate the sources of this opposite evolution of both oil market variables. Our main …nding is that the observed volatility puzzle can be rationalized by the fact that the price elasticities of both oil supply an...

a r t i c l e i n f o JEL classification: F1 F4 Q43 N75 Keywords: Oil price shock Trade balance VAR Granger non-causality test Gregory-Hansen cointegration test This study aims to examine whether a large part of the variability of trade balances and their oil and non-oil components is associated with oil price fluctuations. The long-run causality running from oil price to overall, oil and non-o...

Social-economic variables influence transportation demand largely. Analyses of discrete choice model consider social-economic variables to study traveler’s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. Also, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil avi...

Discrete choice model is the most used methodology for studying traveler’s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. In this study, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil aviation are employed to calibrate and validate the model. In this study, d...

abstract: this paper discusses two topics. at first, it uses continuous wavelet (morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in opec crude oil prices, wti crude oil prices, brent crude oil prices and iran’s crude oil prices on the iran’s reer. to this end, the monthly data of the variables for years 2003 to 2012 is used. coherency analysis revea...