Do global risk perceptions influence world oil prices?

Energy Economics

Volumn 33, Issue 3, 2011, Pages 515-524

  Sari, Ramazan ^a   Soytas, Ugur ^a   Hacihasanoglu, Erk ^a,b  

^a MIDDLE EAST TECHNICAL UNIVERSITY   (Turkey)

^b CENTRAL BANK OF THE REPUBLIC OF TURKEY   (Turkey)

Author keywords

ARDL; Generalized impulse responses; Generalized variance decompositions; Metal prices; Oil prices; Risk perception

Indexed keywords

ARDL; GENERALIZED IMPULSE RESPONSES; GENERALIZED VARIANCE DECOMPOSITIONS; METAL PRICES; OIL PRICES;

COSTS; RISK ANALYSIS;

RISK PERCEPTION;

COMMODITY PRICE; CRUDE OIL; EXCHANGE RATE; GLOBAL ECONOMY; PRECIOUS METAL; PRICE DYNAMICS; RISK PERCEPTION;

EID: 79953027764     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.12.006     Document Type: Article

References (35)

1. Akram Q.F. Commodity prices, interest rates and the dollar. Energy Economics 2009, 31:838-851.
2. Amano R.A., van Norden S. Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance 1998, 17:299-316.
3. Baffes J. Oil spills on other commodities. Resources Policy 2007, 32:126-134.
4. Baffes J., Gardner B. The transmission of world commodity prices to domestic markets under policy reforms in developing countries. Journal of Economic Policy Reform 2003, 6:159-180.
5. Beahm D. 5 Factors Driving Gold in 2008 2008, http://www.blanchardonline.com/beru/five_factors.php.
6. Ciner C. On the long-run relationship between gold and silver: a note. Global Financial Journal 2001, 12:299-303.
7. Elliott G., Rothenberg T.J., Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 1996, 64:813-836.
8. Engle R., Granger C. Co-integration and error correction: representation, estimation, and testing. Econometrica 1987, 55:251-276.
9. Gonzalez-Hermosillo B., Hesse H. Global market conditions and systemic risk. IMF Working Paper 09/230 2009.
10. Hammoudeh S., Yuan Y. Metal volatility in presence of oil and interest rate shocks. Energy Economics 2008, 30:606-620.
11. Hammoudeh S., Sari R., Ewing T.B. Relationships among strategic commodities and with financial variables. Contemporary Economic Policy 2009, 27(2):251-264.
12. Harri A., Nalley L., Hudson D. The relationship between oil, exchange rates, and commodity prices. Journal of Agricultural and Applied Economics 2009, 41(2):501-510.
13. Hartelius K., Kashiwase K., Kodres L. Emerging Market Spread Compression: Is it Real or is it Liquidity? 2008, International Monetary Fund, Washington D.C., Working Paper 08/10.
14. IMF Global financial stability report. Market Developments and Issues 2004, International Monetary Fund, Washington D.C., April.
15. Johansen S. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 1988, 12:231-254.
16. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 1991, 59:1551-1580.
17. Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration: with application to the demand for money. Oxford Bulletin of Economics and Statistics 1990, 52:169-210.
18. Kaltalioglu M., Soytas U. Price transmission between world food, agricultural raw material, and oil prices. GBATA International Conference Proceedings 2009, 596-603. Prague.
19. Kilian Lutz Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. The American Economic Review 2009, 99(3):1053-1099.
20. Koop G., Pesaran M.H., Potter S.M. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 1996, 74:119-147.
21. Lizardo R.A., Mollick A.V. Oil price fluctuations and U.S. dollar exchange rates. Energy Economics 2010, 32:399-408.
22. Lucey B.M., Tully E. The evolving relationship between gold and silver 1978-2002: evidence from a dynamic cointegration analysis: a note. Applied Financial Economics Letters 2006, 2:47-53.
23. McMillan D.G., Speight A. Non-ferrous metals price volatility: a component analysis. Resources Policy 2001, 27:199-207.
24. Narayan P.K., Smyth R. Electricity consumption, employment and real income in Australia: evidence from multivariate Granger causality Tests. Energy Policy 2005, 33:1109-1116.
25. Ng S., Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 2001, 69:1519-1554.
26. Pesaran M.H., Pesaran B. Working with Microfit 4.0 1997, Camfit Data Ltd., Cambridge.
27. Pesaran M.H., Shin Y. Generalized impulse response analysis in linear multivariate models. Economics Letters 1998, 58:17-29.
28. Pesaran M.H., Shin Y., Smith R.J. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics 2001, 16:289-326.
29. Pindyck R., Rotemberg J. The excess co-movement of commodity prices. The Economic Journal 1990, 100:1173-1189.
30. Plourde A., Watkins G.C. Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?. Resource and Energy Economics 1998, 20:245-262.
31. Sari R., Hammoudeh S., Ewing B.T. Dynamic relationships between oil and metal commodity futures prices. Geopolitics of Energy 2007, 29(7):2-13.
32. Sari R., Hammoudeh S., Soytas U. Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics 2010, 32:351-362.
33. Silvennoinen A., Thorp S. Financialization, crisis and commodity correlation dynamics. Research Paper Series from Quantitative Finance Research Centre 2010, University of Technology, Sydney.
34. Soytas U., Sari R., Hammoudeh S., Hacihasanoglu E. World oil prices, precious metal prices and macroeconomy in Turkey. Energy Policy 2009, 37:5557-5566.
35. Stivers C., Sun L. Stock market uncertainty and the relation between stock and bond returns. Federal Reserve Bank of Atlanta Working Paper 2002-3 2002.