Elham Kheirandish; Saeed Moshiri; Naser Khiabani; Ahmadreza Jalali-Naini
Abstract
Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects ...
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Oil price shocks have direct and indirect impacts on the economies of oil-exporting and oil-importing countries. The direct impacts are through demand and supply channels and the indirect (spillover) impacts are through interaction between the countries. Most studies have focused on the direct effects of the oil price shocks in a specific country or a region and research works on indirect impacts are limited. In this research, the direct and indirect effects (spillover) of oil shocks on both groups of oil-exporting and oil-importing countries are estimated using a dynamic system model. The spillover effects are defined and measured by the “Trade Ratio” and “Weighted Average Economic Growth” indicators. The sample includes 30 oil-exporting and oil-importing countries with a share of 73 percent of the world’s economy. The results show that a positive oil price shock reduces economic growth in oil-importing countries and increases it in oil-exporting countries, but international trade between the oil- exporting and oil-importing countries mitigates the impact of oil shocks on economic growth of both groups.
Esmaiel Abounoori; Mansour Tour
Abstract
Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets. In this study, to examine risk hedge ratio, optimal ...
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Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets. In this study, to examine risk hedge ratio, optimal weight of asset and the volatility spillover among Iran, the United States, Turkey and UAE stock markets, multivariate GARCH model is estimated using the weekly stock index data from December 15, 2008 to April 10, 2017. Independence of Iran stock market from other markets is due to the relatively low volatility of the Iran stock market and the insignificant correlation between the Iran market and other markets, so risk hedge ratio and optimal weight of assets between the stock market of the studied countries and Iran is low. Also the results indicate considerable own ARCH and GARCH effects on the stock market of these countries. The US economy is relatively large, thus other markets have no significant effect on this market as expected. Most of the eigenvalues of the ARCH and GARCH effects matrix has been slightly smaller than unit, which indicates that relative stability in these markets has been low against domestic and foreign shock and volatility.
