Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century

Valadkhani, Abbas

doi:10.1016/j.eneco.2014.06.015

Cited by 21 publications

(4 citation statements)

References 32 publications

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“…It is assumed that the switches in β s and ρ i are random, time‐variant and memoryless. This implies the next regime's probability depends only on the current regime and not on the sequence of the previous events (Valadkhani, ). In general, a Markov chain process is based on the assumption that changes in regime‐specific coefficients are random, time‐variant, and without memory.…”

Section: Theoretical Frameworkmentioning

confidence: 99%

Okun's Law in Australia

Valadkhani

2015

Economic Record

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This paper examines the dynamic behaviour of the Okun coefficient using quarterly data (1980Q3–2014Q1). It is found that a rise in labour productivity and a fall in output can increase unemployment. A 1 per cent reduction in the unemployment rate requires only a 2.4 per cent increase in real output growth above the average growth rate, but during recessions this figure increases to 4.53 per cent. The probability of observing a higher coefficient was limited to recessionary periods. Given that recessions are now less frequent, Okun's law continues to be a useful rule of thumb in Australia.

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Section: Theoretical Frameworkmentioning

confidence: 99%

Okun's Law in Australia

Valadkhani

2015

Economic Record

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“…A regime-switching model is preferred to other alternative approaches because a Markov chain process assumes that changes in switching coefficients are: (1) random, (2) time-variant, and (3) without memory (Valadkhani, 2014). Changes in the Okun coefficient can be a result of a combination of the following factors: rising female participation in the workforce, changes in productivity, wages, factor substitution, sectoral restructuring, asymmetric adjustment costs between contracting and expanding firms, and the role of mismatch.…”

Section: Introductionmentioning

confidence: 99%

Switching and asymmetric behaviour of the Okun coefficient in the US: Evidence for the 1948–2015 period

Valadkhani¹,

Smyth²

2015

Economic Modelling

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“…The US may be willing and able to assume the role of swing supplier, but whether this happens depends on USA government regulations. Valadkhani (2014) shows that after the Western US Energy Crisis of 2000 the effects of changes in the price of oil on energy prices have consistently increased and become more instantaneous for both Canada and the USA. The speed of adjustment, measured by errorcorrection coefficients has risen, especially for USA oil prices.…”

Section: Related Workmentioning

confidence: 99%

Dynamic responses of energy prices to oil price shocks

Miller

2022

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PurposeThis study examines the dynamic responses of five different daily energy prices to a pulse shock affecting the daily price of oil.Design/methodology/approachDaily data for energy prices from the Federal Reserve Economic Data (FRED) database for January 7, 1997, through February 8, 2021, are analyzed. A bivariate structural vector error correction model and generalized autoregressive conditionally heteroscedastic model are combined and extended by adding the volatility of the growth rate of daily oil prices as an explanatory variable for the growth rates of energy prices. This model is estimated and used to generate impulse responses for energy prices.FindingsThe empirical results show that the levels of the daily energy prices examined have unit roots, are integrated of order one, are cointegrated, and generally revert slowly to their long-term equilibrium relationships with the price of oil. The growth rates for the daily energy prices have autoregressive conditional heteroscedasticity, generally are positively related to the volatility of daily oil prices, respond quickly to a pulse shock to daily oil prices, and have cumulative responses that last at least one month.Originality/valueThis paper allows for simultaneous estimation of extended bivariate structural vector error correction and generalized autoregressive conditionally heteroscedastic models that include the volatility of oil as an explanatory variable and uses these models to generated cumulative impulse responses for the growth rates of daily energy prices to oil price shocks.

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Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century

Cited by 21 publications

References 32 publications

Okun's Law in Australia

Okun's Law in Australia

Switching and asymmetric behaviour of the Okun coefficient in the US: Evidence for the 1948–2015 period

Dynamic responses of energy prices to oil price shocks

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