How Do Oil and Natural Gas Prices affect U.S. industrial production? Utilizing wavelet nonlinear denoised based quantile analysis

Khan, Abbas M; Khan, Muhammad Yar; Khan, Abdul Qayyum

doi:10.1016/j.esr.2020.100550

Cited by 19 publications

(4 citation statements)

References 63 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Similarly, for investment and diversification, industrial sectors are also significant (Tiwari et al, 2018). Khan et al (2020) found a timedependent asymmetric relation between crude oil price and US industrial production and a short-term supply-driven relation was identified. In the medium term, the linkage was demand-driven, and in the long run, it was an asymmetric relation.…”

Section: A Brief Literature Reviewmentioning

confidence: 92%

“…The stock market may be identified as an indicator of economic performance. So many studies have been performed earlier (Khan et al, 2020;Wu et al, 2020;Khraief et al, 2021;Xiang et al, 2021) to investigate how the oil price impacts an economy. Hence, distributing the investment among different sectors will allow diversification of the portfolio and management of risk (Arouri et al, 2011).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques

Mandal

Datta²

2022

IJEEP

View full text Add to dashboard Cite

Oil is considered an essential factor of any economy. This paper examines the time-varying correlation between oil price return, BSE SENSEX, and 14 sectoral indexes in India using multiscale wavelet decomposition and wavelet coherence analysis. The maximal wavelet discrete wavelet transform analysis shows a feedback relationship between 13 sectors at higher time horizons (dC4, dC5, and dC6). Based on the wavelet coherence plot, the oil price and sectoral index return show a high co-movement at 32 to 128 weeks. The wavelet coherence plot shows that the oil price and sectoral index return show a high co-movement during the period of Mar-May 2020 (especially during the period of financial crisis widely spread due to the COVID19 pandemic and nationwide lockdown notification announced by the Government of India). We discuss the implications of these studies in detail.

show abstract

Section: A Brief Literature Reviewmentioning

confidence: 92%

Section: Introductionmentioning

confidence: 99%

Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques

Mandal

Datta²

2022

IJEEP

View full text Add to dashboard Cite

show abstract

“…Jiang and Liu (2021) utilized the NRDL model and revealed that uncertainty in crude oil prices has an asymmetric impact on shock prices. Khan et al (2020) studied the relationship between industrial production with crude oil and natural gas prices by using the waveletbased quantile regression model. They revealed that crude oil has a positive, and natural gas has a negative relationship with industrial production in the short term.…”

Section: Literature Reviewmentioning

confidence: 99%

Macroeconomic effects of crude oil shocks: Evidence from South Asian countries

et al. 2022

View full text Add to dashboard Cite

This research tends to convey the relationship between crude oil price volatility and key macroeconomics indicators, i.e., gross domestic product (GDP), inflation rate (IR), interest rate, and exchange rate. The study collected the time-series data (2000–2020) from the South Asian countries (Afghanistan, Bangladesh, Bhutan, India, Maldives, Nepal, Pakistan, and Sri Lanka), and employed macroeconomic policy modeling tools (impulse response function and the prediction error variance decomposition technique) in the vector autorepression (VAR) setup. The outcome of the impulse response function explained considerable variance among macroeconomic indicators in response to crude oil price shocks. The macroeconomic indicators are extremely susceptible to minor fluctuations in oil prices causing a significant impact on the region's socioeconomic situation. The result of variance decomposition indicates that each country in the region reacts differently to crude oil price volatility which reflects their macroeconomics fundamentals, independent policy, sector structure, and country differences. The findings support change in public policies in a way to reduce their dependency on oil energy and encourage them toward renewal and green energy sources for better environmental results and sustainable development.

show abstract

“…Studies on the impact of commodities prices on macroeconomic fluctuations tend to focus on the impact of some international commodities prices, such as oil prices. Studies have shown that commodities price fluctuations, as an external price shock, can have an inverse impact on macro factors [29][30][31][32]. Therefore, commodities prices can be used as an early indicator of economic performance for macroeconomic monitoring.…”

Section: Introductionmentioning

confidence: 99%

Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China

Shen

Pan

2022

Sustainability

View full text Add to dashboard Cite

As the basic raw materials of economic activities, major commodities prices have a significant impact on the real economy. Due to the impact of the COVID-19 pandemic, major commodities prices have been fluctuating sharply in a “deep V” pattern since 2020. Therefore, accurately grasping the risk linkage between commodity markets and the macroeconomy is the key to preventing systemic risk and maintaining the smooth operation of the economy. Based on the MF-VAR model, this paper analyzed the risk contagion between China’s commodity markets and macroeconomic sectors from the perspective of volatility spillover, focusing on risk spillover and its dynamic evolution during the COVID-19 pandemic, and deeply analyzed the transmission mechanism of risk spillover based on the mixed-frequency causality test method. Our findings show that China’s commodity markets are the net exporter of risk contagion and that all macroeconomic sectors are the net recipient of risk contagion. During the period of COVID-19, the risk contagion effect was significantly intensified. The fluctuation of the commodity markets has a long-lasting negative impact on the investment sector and has caused changes in macroeconomic sectors, such as the reduction of medium- and long-term loans, the reduction of money circulation speed, and the weakening of micro-individual consumption willingness. The results of causality analysis show that wealth, interest rate, and expectation effects are present in the risk contagion between the commodity markets and macroeconomic sectors. While being directly or indirectly impacted by the commodity markets, each macroeconomic sector also generates adverse feedback to the commodity markets. The complete description of the risk contagion between the commodity markets and the macro economy has guiding significance for regulatory authorities to improve risk control policies and reinforce the macro regulatory system.

show abstract

How Do Oil and Natural Gas Prices affect U.S. industrial production? Utilizing wavelet nonlinear denoised based quantile analysis

Cited by 19 publications

References 63 publications

Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques

Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques

Macroeconomic effects of crude oil shocks: Evidence from South Asian countries

Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China

Contact Info

Product

Resources

About