Non-linearities in the dynamics of oil prices

Energy Economics

Volumn 36, Issue , 2013, Pages 341-353

  Kisswani, Khalid M ^a   Nusair, Salah A ^a  

^a GULF UNIVERSITY FOR SCIENCE AND TECHNOLOGY   (Kuwait)

Author keywords

Nonlinear deterministic trends; Nonlinear unit root tests; Oil prices; Smooth transition autoregression

Indexed keywords

ASIAN COUNTRIES; AUTOREGRESSION; ECONOMIC VARIABLES; INDONESIA; LINEAR UNITS; MALAYSIA; NON-STATIONARITIES; NONLINEAR DETERMINISTIC TRENDS; OIL PRICES; PHILIPPINES; SINGAPORE; SMOOTH TRANSITIONS; SPECIAL TREATMENTS; STATIONARITY; STRUCTURAL BREAK; THAILAND; UNIT ROOT TESTS;

REGRESSION ANALYSIS;

COSTS;

CRUDE OIL; ENERGY MARKET; NONLINEARITY; NUMERICAL MODEL; PRICE DYNAMICS;

EID: 84874296674     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2012.09.007     Document Type: Article

References (69)

1. Akram Q.F. Oil prices and exchange rates: Norwegian experience. Econ. J. 2004, 7:476-504.
2. Aksoy Y., Orphanides A., Small D., Wieland V., Wilcox D. A quantitative exploration of the opportunistic approach to disinflation. J. Monet. Econ. 2006, 53:1877-1893.
3. Amano R., Norden S. Oil prices and the rise and fall of the US real exchange rate. J. Int. Money Finance 1998, 17(2):299-316.
4. Balke N., Fomby T. Threshold cointegration. Int. Econ. Rev. 1997, 38(3):627-645.
5. Bekiros S., Diks C. The relationship between crude oil spot and futures: cointegration, linear and nonlinear causality. Energy Econ. 2008, 30:2673-2685.
6. Bentzen J. Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices. Appl. Econ. 2007, 39:1375-1385.
7. Bergvall A. What determines real exchange rates? The Nordic countries. Scand. J. Econ. 2004, 106:315-337.
8. Bernanke B., Gertler M., Watson M. Systematic monetary policy and the effects of oil price shocks. Brookings Pap.Econ. Act. 1997, (1):91-142.
9. Bhar R., Hammoudeh S., Thompson M. Component structure for nonstationary time series: application to benchmark oil prices. Int. Rev. Financ. Anal. 2008, 17:971-983.
10. Bierens H. Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the U.S. price level and interest rate. J. Econ. 1997, 81:29-64.
11. Caner M., Hansen B. Threshold autoregression with a unit root. Econometrica 2001, 69(6):1555-1596.
12. Chaudhuri K., Daniel C. Long-run equilibrium real exchange rates and oil prices. Econ. Lett. 1998, 58(2):231-238.
13. Chen S.S., Chen H.C. Oil prices and real exchange rates. Energy Econ. 2007, 29:390-404.
14. Chow H., Kim Y. Does greater exchange rate flexibility affect interest rates in post-crisis Asia?. J. Asian Econ. 2006, 17:478-493.
15. Christopoulos D., Leon-Ledesma M. A long-run non-linear approach to the Fisher effect. J. Money, Credit, Bank. 2007, 39(2-3):543-559.
16. Coakley J., Fuertes A. Asymmetric dynamics in UK real interest rates. Appl. Financ. Econ. 2002, 12:379-387.
17. Cologni A., Manera M. The asymmetric effects of oil shocks on output growth: a Markov-switching analysis for the G-7 countries. Econ. Model. 2009, 26(1):1-29.
18. Cuestas J., Regis P. Nonlinearities and the order of integration of oil prices. Empir. Econ. Lett. 2010, 9(2):193-202.
19. Cunado J., Gracia F. Oil prices, economic activity and inflation: evidence for some Asian countries. Q. Rev. Econ. Financ. 2005, 45(1):65-83.
20. Darby M. The price of oil and world inflation and recession. Am. Econ. Rev. 1982, 72(4):738-751.
21. Davis S., Haltiwanger J. Sectoral job creation and destruction responses to oil price changes. J. Monet. Econ. 2001, 48(3):465-512.
22. Du L., He Y., Wei C. The relation between oil price shocks and China's macro-economy: an empirical analysis. Energy Policy 2010, 38(8):4142-4151.
23. Ellen S., Zwinkels R. Oil price dynamics: a behavioral finance approach with heterogeneous agents. Energy Econ. 2010, 32:1427-1434.
24. Enders W., Granger C. Unit-root tests and asymmetric adjustment with an example using the term structure of the interest rates. J. Bus. Econ. Stat. 1998, 16(3):304-311.
25. Ferderer J. Oil price volatility and the macroeconomy: a solution of the asymmetry puzzle. J. Macroecon. 1996, 18(1):1-26.
26. Francesco G. The economic effect of oil price shocks on the UK manufacturing and services sector. MPRA, Working Paper No. 16171 2009.
27. Ghoshray A., Johnson B. Trends in world energy prices. Energy Econ. 2010, 32:1147-2256.
28. Granger C., Terasvirta T. Modeling Nonlinear Economic Relationships 1993, Oxford University Press, Oxford.
29. Hamilton J. Oil and the macroeconomy since World War II. J. Polit. Econ. 1983, 91(2):228-248.
30. Hamilton J. A neoclassical model of unemployment and business cycles. J. Polit. Econ. 1988, 96:593-617.
31. Hamilton J. This is what happened to the oil price-macroeconomy relationship. J. Monet. Econ. 1996, 38(2):215-220.
32. Huang B., Hwang M., Peng H. The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model. Energy Econ. 2005, 27(3):455-476.
33. Jahan-Parvar M., Mohammadi H. Oil prices and real exchange rates in oil-exporting countries: a bound testing approach. J. Dev. Areas 2011, 25:309-318.
34. Jawadi F., Bellalah M. Nonlinear mean reversion in oil and stock markets. Rev. Account. Finance 2011, 10(3):316-326.
35. Jiménez-Rodríguez R., Sánchez M. Oil price shocks and real GDP growth: empirical evidence from some OECD countries. Working Paper Series, No. 362 2004, European Central Bank.
36. Jin G. The impact of oil price shock and exchange rate volatility on economic growth: a comparative analysis for Russia, Japan and China. Res. J. Int. Stud. 2008, 8(11):98-111.
37. Kapetanios G., Shin Y., Snell A. Testing for a unit root in the nonlinear STAR framework. J. Econ. 2003, 112:359-379.
38. Keane M., Prasad E.S. The employment and wage effects of oil price changes: a sectoral analysis. Rev. Econ. Stat. 1996, 78(3):389-400.
39. Korhonen I., Juurikkala T. Equilibrium exchange rates in oil-exporting countries. J. Econ. Finance. 2009, 33(1):71-79.
40. Lardic S., Mignon V. Oil prices and economic activity: an asymmetric cointegration approach. Energy Econ. 2008, 30:847-855.
41. Lee K., Ni S., Ratti R. Oil shocks and the macroeconomy: the role of price variability. Energy J. 1995, 16(4):39-56.
42. Lumsdaine R., Papell D. Multiple trend breaks and the unit root hypothesis. Rev. Econ. Stat. 1997, 79:212-218.
43. Michael P., Nobay A., Peel D. Transaction costs and nonlinear adjustment in real exchange rates: an empirical investigation. J. Polit. Econ. 1997, 105:862-879.
44. Mishkin F. Inflation targeting in emerging-market countries. Am. Econ. Rev. 2000, 90(2):105-109.
45. Mork K. Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. J. Polit. Econ. 1989, 97(3):740-744.
46. Moshiri S., Foroutan F. Forecasting nonlinear crude oil futures prices. Energy J. 2006, 27(4):81-95.
47. Nelson C., Plosser C. Trends and random walks in macroeconomic time series. J. Monet. Econ. 1982, 10:139-162.
48. Nusair S. Purchasing power parity under regime shifts: an application to Asian countries. Asian Econ. J. 2008, 22(3):241-266.
49. Nusair S. Non-linear cointegration between nominal interest rates and inflation: an examination of the Fisher hypothesis for Asian countries. Glob. Econ. Rev. 2009, 38(2):143-159.
50. Nusair S. Nonlinear adjustment of Asian real exchange rates. Econ. Chang. Restruct. 2012, 45:221-246.
51. Orphanides A., Wilcox D. The opportunistic approach to disinflation. Int. Finance. 2002, 5(1):47-71.
52. Park J., Ratti R. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Econ. 2008, 30(5):2587-2608.
53. Perron P. The great crash, the oil price shock, and the unit root hypothesis. Econometrica 1989, 57:1361-1401.
54. Pindyck R. The long-run evolution of energy prices. Energy J. 1999, 20:1-27.
55. Pippenger M., Goering G. A note on the empirical power of unit root tests under threshold processes. Oxf. Bull. Econ. Stat. 1993, 55(4):473-481.
56. Postali F., Picchetti P. Geometric Brownian motion and structural breaks in oil prices: a quantitative analysis. Energy Econ. 2006, 28:506-522.
57. Rafiq S., Salim R., Bloch H. Impact of crude oil price volatility on economic activities: an empirical investigation in the Thai economy. Resour. Policy 2008, 34(3):121-132.
58. Ramsey J., Rothman P. Time irreversibility and business cycle asymmetry. J. Money, Credit, Bank. 1996, 28(1):1-21.
59. Razgallah B., Smimou K. Oil prices and the greenback: it takes two to tango. Appl. Financ. Econ. 2011, 21:519-528.
60. Reitz S., Slopek U. Non-linear oil price dynamics: a tale of heterogeneous speculators?. Ger. Econ. Rev. 2009, 10(3):270-283.
61. Rogoff, K. 2006. Oil and global economy. Mimeo, Harvard University.
62. Sornette D., Woodard R., Zhou Wei-Xing The 2006-2008 oil bubble: evidence of speculation, and prediction. Physica A 2009, 388:1571-1576.
63. Taylor M., Peel D.A., Sarno L. Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. Int. Econ. Rev. 2001, 42(4):1015-1042.
64. Terasvirta T. Specification, estimation and evaluation of smooth transition autoregressive models. J. Am. Stat. Assoc. 1994, 89:208-218.
65. Terasvirta T., Anderson H. Characterizing nonlinearities in business cycles using smooth transition autoregressive model. J. Appl. Econ. 1992, 7:S119-S136.
66. Tsen W. The real exchange rate determination: an empirical investigation. Int. Rev. Econ. Finance 2011, 20:800-811.
67. Zhang Y.-J., Fan H.-T., Wei Y.-M. Spillover effect of US dollar exchange rate on oil prices. J. Policy Model. 2008, 30(6):973-991.
68. Zhou S. The response of real exchange rates to various economic shocks. South. Econ. J. 1995, 61(4):936-954.
69. Zivot E., Andrews D. Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. J. Bus. Econ. Stat. 1992, 10(3):251-270.