Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages

The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey

“…The last step of the empirical analysis is to examine the causal nexus between inflation and inflation uncertainty. Differing from the previous papers that do not consider structural breaks in examining the relationship between inflation and inflation uncertainty in Turkey, this paper employs the version of Granger causality test that is suggested by Nazlioglu et al (2016Nazlioglu et al ( , 2019 and that takes structural breaks into account. Nazlioglu et al (2016Nazlioglu et al ( , 2019 develop a new causality test by augmenting the causality approach of Toda and Yamamoto (1995, hereafter TY) with a Fourier approximation and this test is called the Fourier TY test.…”

“…where n is the number of frequencies, k denotes the particular frequency and T indicates the number of observations. If we substitute Equation ( 7) into Equation (6), we get: Nazlioglu et al (2019) use the bootstrap distribution of the Wald statistic and denote that the optimal lag length in the causality analysis and the number of Fourier frequencies can be determined through the AIC or SIC. Additionally, Nazlioglu et al (2019) point that the Fourier TY test with cumulative frequencies is capable of presenting more reliable findings if the sample size is over 100.…”

Price and volatility linkages between international REITs and oil markets

“…In a VAR specification, controlling for structural breaks and determining the original source of breaks is difficult because a break in one variable potentially causes shifts in other variables (Ng and Vogelsang, 2002;Enders and Jones, 2016). To overcome this difficulty and to further simplify the determination of the form of shifts as well as estimation of the number and dates of breaks in a VAR framework, Enders and Jones (2016), Nazlioglu et al (2016Nazlioglu et al ( , 2019 and Gormus et al (2018) (Toda and Yamamoto, 1995;Dolado and Lütkepohl, 1996). The Toda and Yamamoto approach (TY) overcomes these problems by estimating VAR(p+d) model by using level form of variables where d is the maximum integration order of variables.…”

Do the electricity price shocks influence the Sectoral Production and KSE100 Index in Pakistan? An ARDL structural breaks approach

“…Additionally, there is a significant effect of energy costs on macro-economic variables (Taghizadeh-hesary et al, 2015), energy insecurity also has great effect on finish goods and food prices (Taghizadeh-hesary et al, 2019). Energy price shocks influencing different macroeconomic factors i.e., GDP, rate of interest, rate of inflation, foreign exchange rate, human development, stock and bond prices, portfolio optimization and business cycle (Ahmed et al, 2018;Marza & Daly, 2018;Naser, 2019;Nazlioglu et al, 2019;Pönkä & Zheng, 2019;S. Sarwar et al, 2019;Waheed et al, 2018;Wesseh & Lin, 2018).…”