Download or read book Volatility Effects of the Global Oil Price on Stock Price in Nigeria written by David Oluseun Olayungbo and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This present study examines the volatility effects of the oil price on the stock price returns in Nigeria from the period of 2000M(12) to 2020M(4) on a monthly data using both standard GARCH and non-linear GARCH models. The motivation for the present study is the recent fall in the global oil price of Brent Crude to US$15.25 per barrel due to the outbreak of the Corona Virus (COVID-19). Consequentially, the Nigerian stock market (NSE) responded with a fall of 4172 point or by a fall of 15.53%. After establishing the presence of heteroscedasticity through the ARCH test and volatility clustering through the returns, the outcome of the study contributes to knowledge by providing financial information and signals to investors about the best GARCH model response to proactively and successfully use to model global oil price shocks so as to reduce financial risk in Nigeria,Äôs stock market.

Download or read book Linear and Non Linear Financial Econometrics written by Mehmet Terzioğlu and published by BoD – Books on Demand. This book was released on 2021-03-17 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Download or read book Crude Oil Prices Risk Preferences and Intertemporal Variation in Market Expected Returns written by Oghenovo A. Obrimah and published by . This book was released on 2019 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk aversion parameters, changes to oil prices do not have any direct, equivalently `demand' effect on market or portfolio returns. Prior studies of effects of oil prices on stock returns test for presence of the demand effect, but do not allow for possibility of inferring of the risk effect. Given the empirical framework in this study embeds the demand effect as a special case, empirical findings provide a basis for reexamination of importance and/or robustness of the demand effect. As developed, the intertemporal framework enables inferences as to the extent to which arbitrage pricing factors, e.g. crude oil prices can be characterized to derive relevance for asset pricing from interactions with preferences of agents within stock markets.

Download or read book Dynamic Linkages and Volatility Spillover written by Bhaskar Bagchi and published by Emerald Group Publishing. This book was released on 2016-11-01 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.

Download or read book Oil Price and Exchange Rate Volatility in Nigeria written by Oluwatomisin Ogundipe and published by . This book was released on 2014 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oil as the mainstay of the Nigerian economy, accounts for over 95 percent of its foreign earnings and about 83 percent of its budgetary allocation, to this end, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing country, a situation that emerged in the last decade. The study examined the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data covering the period 1970 to 2011. The long run relationship among the variables was determined using the Johansen Co-integration technique while the vector correction mechanism was used to examine the speed of adjustment of the variables from the short run dynamics to the long run equilibrium. It was observed that a proportionate change in oil price leads to a more than proportionate change in exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study therefore recommend that the Nigeria government should diversify from the oil sector to other sectors of the economy hereby dwindling the impact of crude oil as the mainstay of the economy and overcome the effect of incessant changes in crude oil prices which often culminate into macroeconomic instability.

Download or read book Food Price Spikes and Volatility in Local Food Markets in Nigeria written by Adebayo Shittu and published by . This book was released on 2017 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Beside the mixed evidences on transmission of international food price volatility to local markets and the desirability or otherwise of reliance on stabilisation policy to cushion the effects, very little is known about the key drivers of price spikes and volatility in sub-Saharan Africa. This paper is an attempt to bridge this gap, by focusing on the patterns, drivers, and policy responses to food price spikes and volatility across in Nigeria. The study was based on 16 years panel data on average monthly prices (2001:1 - 2016:12) of major food commodities across local markets in the 36 States of Nigeria, supplemented with monthly series of relevant domestic policy variables, and international prices, among other factors. Data analysis was mainly within the framework of fixed effects models. Findings suggest that food price upsurges in an average Nigeria market is more strongly related to spikes than volatility. International factors such as crude oil price, international food prices, and global beginning stock to use of coarse grains, and domestic policy variables such as real exchange rates, monetary policy rates and narrow money are strong influencers of spikes in the price of one or more food commodities in Nigeria's local markets. Higher petrol price and food production variability may substantially advance price instability in local food markets. Government policy actions at addressing volatile food prices immediately after the 2007/2008 food crises appeared to enhance food price stability. These findings call for greater attention on management of monetary policy, including the exchange rates, ensuring stable petrol price, limiting food production instability, mitigating spill-over of price upsurges from international markets and building farmers and consumer's resilience against food price changes, among others, as important pathways to address short and medium-term food price upsurges.

Download or read book Oil Price Volatility and the Role of Speculation written by Samya Beidas-Strom and published by International Monetary Fund. This book was released on 2014-12-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Download or read book Oil Price Volatility Spillover Effects on Food Prices in Nigeria written by Azeez R. Oluwaseyi and published by . This book was released on 2019 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies have been done on oil price volatility spillover effects on the prices of food in both pre-crisis and post-crisis periods. However, what has been sparingly studied is oil price volatility spillover effects on urban prices of food and rural prices of food. The disparity in the rural-urban spending in Nigeria is an area that can further be explored by evaluating the effects of oil price volatility spillover on prices of food in these areas. This study therefore adopts GARCH (1, 1)-TY model to evaluate the impulse response function and variance decomposition of these effects on prices of food in pre-crisis and post-crisis periods. Findings show that in full sample and post-crisis periods both aggregate price of food (APF) and urban average price of food (APFU) positively respond to oil price shocks while rural average price of food (APFR) responds negatively to oil price shocks. However, the response of the urban average price of food proves to be more significant in the post-crisis periods as it appears relatively most affected in this period by a greater percentage of oil price shocks.

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Download or read book Growth in Sub Saharan Africa written by Mr.Dhaneshwar Ghura and published by International Monetary Fund. This book was released on 1995-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates empirically the determinants of economic growth for a large sample of sub-Saharan African countries during 1981-92. The results indicate that (i) an increase in private investment has a relatively large positive impact on per capita growth; (ii) growth is stimulated by public policies that lower the budget deficit in relation to GDP (without reducing government investment), reduce the rate of inflation, maintain external competitiveness, promote structural reforms, encourage human capital development, and slow population growth; and (iii) convergence of per capita income occurs after controlling for human capital development and public policies.

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Download or read book Oil Prices and the Global Economy written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2017-01-27 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.

Download or read book What are the Effects of Oil Price Volatility on Oil Exporting Countries and what Policy Options Could be Used to Mitigate this Price Exposure written by Ruqayya Makama and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.

Download or read book Global Implications of Lower Oil Prices written by Mr.Aasim M. Husain and published by International Monetary Fund. This book was released on 2015-07-14 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.