This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
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We contribute to the economic growth-CO2 emissions literature in the MENA region by focusing on both production and environmental functions. Adopting an original analytical framework, our empirical investigation parallels two approaches. The first one follows the studies by Lean and Smyth (2010a) and Sadorsky (2012) which examine the dynamic interaction of energy consumption and trade openness using production function. The second one extends the recent works by Halicioglu (2009), Jalil and Mahmud (2009), and Jayanthakumaran et al. (2012) which attempt to introduce energy consumption and trade openness in the environmental function as a solution to circumvent omitted variable bias. Our findings suggest that MENA countries should adopt policies to control the increase of pollution as well as to stabilize the productivity growth. One of these policies is to increase the share of renewable energy relative to non-renewable energy sources.
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· 2017
We empirically examine international monetary coordination by identifying the network structure of four major central banks: The Bank of England, Bank of Japan, European Central Bank and Federal Reserve Bank. We calculate the time-varying connectedness measure developed by Diebold and Yilmaz (2005). Specifically, we investigate the interdependence of monetary policy actions and how the interaction between these central banks change over time. The construction of the network structure for different time periods allows to study the effect of the 2008 financial crisis. We investigate the structural break dates for the network structure to determine the exact dates of convergence and decoupling of monetary policy. The empirical analysis shows that monetary policy interdependence is higher for the October 2008-July 2013 period.