Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries

By A. Cologni, Matteo Manera. 2008

691 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/56b3fa37751d481ffab999619ad33b8e5a9d0fc8

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Citations in the corpus

Conditional correlations and volatility spillovers between crude oil and stock index returns (2010, neutral): “…(1983), Mork, Olsen and Mysen (1994), Mork (1994), Lee et al. (1995), Sadorsky (1999), Lee et al. (2001), Hooker (2002), Hamilton and Herrera (2004), Cunado and Perez de Garcia (2005), Jimenez-Rodriguez and Senchez (2005), Kilian (2008), Cologni and Manera (2008), and Park and Ratti (2008)).”
Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade (2010, background): “…these studies have shown significant effects of oil price fluctuations on economic activity for several developed and emerging countries (Hamilton, 2003; Cunado and Perez de Garcia, 2005; Balaz and Londarev, 2006; Lardic and Mignon, 2008; Gronwald, 2008; Cologni and Manera, 2008; and Kilian, 2008).”
Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries (2015, result): “The similar findings to that of Hamilton (1983) with respect to the impact of oil price shocks on macroeconomic variables can also be found in Cebula et al. (2002), Cunado and Garcia (2005), Cologni and Manera (2008) and Kilian (2008).”
Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries? (2010, background): “This work has underscored the significant effects of oil price fluctuations on economic activity in mature and in emerging markets [Cunado and Perez de Garcia (2005), Balaz and Londarev (2006), Gronwald (2008), Cologni and Manera (2008), Kilian (2008), and Lardic and Mignon (2006, 2008)].”
The pass-through effects of oil price shocks on China's inflation: A time-varying analysis (2020, methodology): “(2015), Pan(2017), Cross and Nguyen (2018) and Gong and Lin (2018b), Bayesian inference is used to estimate the TVP-SVAR-SV model via the Markov chain Monte Carlo (MCMC) method.”
Interdependence of oil prices and stock market indices: A copula approach (2014, background): “Cologni and Manera (2008) included the Special Drawing Rights (SDR) exchange rate as an explanatory variable in their regression analyses to control for the exchange rate risk.”
Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2014, background): “…also documented these relationships (see, inter alia, Miller and Ratti, 2009; Nandha and Faff, 2008; Park and Ratti, 2008 for the effect of oil prices on the stock market; Cologni and Manera, 2008; Omrana, 2003; Flannery and Protopapadakis, 2002 for the effect of inflation on the stock market).”