Figure - available via license: Creative Commons Attribution 4.0 International
Content may be subject to copyright.
Source publication
We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to...
Context in source publication
Citations
... Nevertheless, comparing the first sanction wave to the second leads us to believe that sanctions had a more important role -during the second wave, oil price was at a 15-year high, yet the sudden depreciation of the rouble still occurred. This shows that the impact of low oil price on post-sanction recessions could be tempered (Nyangarika, 2019;Pönkä & Zheng, 2019). As it is, the Russian rouble seems to be as strongly influenced by sanctions as by commodity prices. ...
This study examines the effects of sanctions implemented by the European Union and the United States of America against the Russian Federation following the latter’s annexation of the Crimea Peninsula and invasion of Eastern Ukraine. The analysis focuses on indirect or spillover effects caused by EU and US sanctions on several macroeconomic variables of the Russian economy. Employing a structural vector autoregressive model, the study uses time-varying sanction indices to simulate sanctions, substituting for binary dummy variables traditionally employed in modelling sanction’s implementation. The findings reveal that sanctions have an indirect impact on Russia’s GDP through their direct effects on inflation, interest rate, and domestic currency – a notion introduced as “sanction transmission mechanism”.
... The success ratio holds significance from the perspective of practical forecasters, particularly when decisions are made based on the signals provided by the model. Nevertheless, given the infrequency of recession periods in comparison to growth periods, it is possible for relatively uninformative models to have high success ratios (Pönkä and Zheng, 2019). ...
... Using a measure oil market uncertainty Yin and Feng [44] studied the dynamic relationship between oil market uncertainty and international business cycles, the authors have found that oil market uncertainty has a linear leading effect on international business cycles. Pönkä and Zheng [45] studied the role of oil prices in forecasting the Russian recession period using a Probit model. The author suggests that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, with the term spread turning out to be the most powerful predictor of future recessions. ...
The recent analysis focused on gold and energy as hedge fund and channel for the cyclicity of the economic system. Within the occurrence of the prominent crisis, the financial cycle became a nexus relation with the real sphere. The aim of this chapter is to investigate the impact of the commodities and the stock market on the global business cycle within filtering based on HP and Band Pass filter for the period Q1–1984 to Q4–2020. We review the literature on the business cycle, commodities, and financial cycle research. We find which HP trend is close to the estimated trend of global GDP based on a multivariate UC model. We provide a Band-Pass filter to examine the upswing and downswing commodities cycle as well as the financial cycle. We construct a multivariate unobserved component model that includes the gold price, the crude oil price, and the financial cycle as the independent component within the model. The estimation of the model found that oil has a lag impact on the fluctuation of the business cycle, it reacts as an impulsion for the crisis, compared to the gold and the global financial cycle which reacts simultaneously with the trend of the global business cycle.
... Another cause of instability is the sharp business cycle of the Russian economy. Pönkä and Zheng (2019) suggest that the oil price is the main determining factor, and fluctuations in nominal oil prices are useful predictors of the Russian business cycle. ...
Emerging economies have specific characteristics that condition the use of intellectual capital. The economic crisis has had important consequences for emerging countries. The investments in intellectual capital could slow down this influence. This paper uses a new model for assessing the effects of an investment in intellectual capital on the performance of Russian companies in a period of crisis. The model is applied in Russian companies with data from 1,096 companies for the period 2004–2014 and 12,056 observations were made. The panel data included only active companies (from January 2004) listed with annual reports and were obtained from Bureau Van Dijk’s Ruslana database. Each company’s data cover at least seven years. The study used hierarchical linear models to unravel the effect of intellectual capital on value-added. The results show that investments in structural capital and relational capital have a direct effect on the stock of intellectual capital and generates value. The results show that investments in structural capital and relational capital have a direct effect on the stock of intellectual capital and generates value.
... Considering a strong relationship between the world oil prices and the Russian macroeconomic performance, some studies, such as Pönkä and Zheng (2019) and Balashova and Serletis (2020), suggest that oil price fluctuations can help predict changes in the growth rate of Russia's main economic activity. Oil prices are procyclical and lead the economic activities in Russia and thus making it a valuable indicator of possible future recession periods. ...
Oil price fluctuations severely impact the economies of both oil-exporting and importing countries. High oil prices can benefit oil exporters by increasing foreign currency inflow; however, an economy can suffer from a weakening of the manufacturing sectors and experience a significant downtrend in the country's price competitiveness as the domestic currency appreciates. We investigate the oil price fluctuations from Q1, 2004 to Q3, 2021 and their impact on the Russian macroeconomic indicators, particularly industrial production, exchange rate, inflation and interest rates. We assess whether and how much the Russian macroeconomic variables have been responsive to the oil price fluctuations in recent years. The outcomes from VAR model confirm that the monetary channel is more responsive to oil price shocks than the fiscal one. Regarding fiscal channel of the oil price impact, industrial production is strongly pro-cyclical to oil price shocks. As for the monetary channel, higher oil price volatility is pressuring the Russian ruble, inflation and interest rates are substantially counter-cyclical to oil price shocks.
... This indicator has the most significant impact on exchange rate dynamics in Azerbaijan. Fluctuations in commodity prices and export volumes are one of the primary sources of macroeconomic volatility in resource-based economies (Pönkä & Zheng, 2019) The macroeconomic factor is associated with a decrease in the country's investment attractiveness (due to a reduction in GDP per capita, rising unemployment, a decline in real personal incomes, and decreased purchasing activity due to inflation). The decrease in remittances creates a threat of devaluation of the Azerbaijani manat due to the outflow of foreign currency in the form of remittances from the country. ...
This study aims to substantiate the practicality of establishing a fixed exchange rate (FER) under external shocks to the Azerbaijani economy. Using regression analysis, principal component analysis, and the Granger causality test, we substantiated the inexpediency of a fixed FER for the manat (the national currency) due to: the ineffective fiscal and monetary policy of the state, weak integration into the U.S. economy, distrust of the manat in the population, and the weakness of currency hedging. Artificial retention of a FER will lead to devaluation and chronic economic recession (inflation growth, a decrease in real incomes of the population, a reduction of GDP per capita, and an increase in unemployment). It is substantiated that an increase in public confidence in the national currency should become the basis for the transition to a floating exchange rate (FER) for the manat as it will help to get the actual value of the manat.
... It is also one of the key benchmarks to understand the crisis, as indicated by Luo and Zhang (2020) regarding the Chinese stock market crash. Oil prices are also tightly linked to the business cycle, and they are thought to be an excellent predictor of future recessions as seen in Russia (Pönkä and Zheng, 2019). Furthermore, the EPU of oil-producing and consuming countries affects oil prices Sun et al., 2021;Umar et al., 2021;Akram et al., 2022;Li et al., 2022;Wei et al., 2017), and the latter is regarded as a determinant driver of EPU indices (Barrero et al., 2017;Khan et al., 2020). ...
Oil prices and uncertainties have a direct impact on producers, exporters, governments, and consumers. Therefore, this study investigates the relationship between oil prices, uncertainty, and trade in Algeria from 1990Q1 to 2020Q4. This study primarily built two models: the first model examines how oil prices affect uncertainty and the second model examines how oil prices and uncertainty affect trade. To achieve the objective of the study we applied a novel multiple threshold nonlinear autoregressive distributed lag (MTNARDL) model. The findings confirm that small shocks in oil prices have a negative effect on uncertainty. While medium and large shocks in oil prices increase exports and imports. Finally, we discover that uncertainty has no significant effect on exports, while medium and large shocks in uncertainty reduce imports. Overall, the findings support the existence of an asymmetric relationship between oil prices, uncertainty, and trade. The decision-makers should consider preparing for remedial reforms and a peaceful transition from a mono-export to a diversified economy.
... Nyangarika (2018) confirmed that there is a strong correlation between oil and real GDP in oil-producing countries. Pönkä and Zheng (2019) stated that in Russia oil is the predator for real GDP. Oil is the dominant factor for currency exchange as well as increasing the Russian economy (Blokhina, Karpenko et al., 2016). ...
The aim of this research is to address two emerging and relevant issues that have not been thoroughly investigated in the context of the Russian Federation. The first one is the increasing importance of natural gas and its competing role with Oil as a fossil fuel which should have a significant impact on the overall growth of the Russian Economy. The second issue is an asymmetric effect of natural resource utilization and rents earned on the economic growth which may result in the incorrect interpretation of either resource curse or resource blessings if not properly captured and identified. For this study time-series data from 1988 to 2019 was analyzed using nonlinear autoregressive distributed lag model (NARDL) model. The main findings of this research are surprisingly interesting and confirm the existence of a resource curse for Russia triggered by the positive shocks of natural gas rents. However, the shocks in oil rents which are broadly recognized as the main causes of resource course, tend to be a blessing, because both positive and negative have a positive effect on GDP growth. These findings have important policy consequences for the Russian economy, including how to limit natural gas supply in the face of high global demand and rising prices.
... Further, Figure 1 presents time varying history of oil and gas prices from 2006 to 2019, in-line with the sample period of our study. Since, oil price is considered a core determinant of economic growth (Dagher and El Hariri, 2013), and higher oil prices leads to economic recessions (Hamilton, 1983;Pönkä and Zheng, 2019). Therefore, it is crucial to observe the state and network ...
The energy sector occupies a mainstay role in overall growth in the modern worldwide economy. Therefore, it is essential to examine network structures and dynamics of leading energy companies of the world through complex network methods. Because, complex network methods are significant tools of studying the static and dynamics properties of the stock market, which allows us to better comprehend the stock market. We use daily prices of 147 energy stocks belonging to 34 countries of the world from 2006-2019. In addition to the overall sample, we explore networks for two sub-periods to examine the topological evolution during global recession of 2008, and energy and European debt crisis of 2011. Our results show substantial clustering of energy companies based on their geographic position during overall sample period. However, the crisis periods lead to a break in Asian and European clusters and only one prominent cluster appears in all the periods belonging to North American energy companies. We also observe few top US and European based companies occupying important and great global influence positions in the networks. In addition, time-varying topological measures indicate contraction of networks during crisis time, and an expansion in the recovery periods. More implications are also discussed.
Keywords: energy companies; complex network; threshold network; minimum spanning tree; stock market; crisis
JEL Classifications: C18; E32; E44; G01; G14; G15; G19
DOI: https://doi.org/10.32479/ijeep.11287
... Additionally, there is a significant effect of energy costs on macro-economic variables (Taghizadeh-hesary et al., 2015), energy insecurity also has great effect on finish goods and food prices (Taghizadeh-hesary et al., 2019). Energy price shocks influencing different macroeconomic factors i.e., GDP, rate of interest, rate of inflation, foreign exchange rate, human development, stock and bond prices, portfolio optimization and business cycle Marza & Daly, 2018;Naser, 2019;Nazlioglu et al., 2019;Pönkä & Zheng, 2019;S. Sarwar et al., 2019;Waheed et al., 2018;Wesseh & Lin, 2018). ...
This research investigates the long-term cointegration of electricity price with sectoral production and equity market in Pakistan. Fourteen major industrial sectors and the KSE100 index is taken into consideration to determine the relationship. Literature in this regard is available but this research is distinct from previous literature for it tests the sectoral production and equity market relationship with electricity price change in Pakistan. Monthly data from 1st Jan 2011 till 31st Dec 2019 is taken for fourteen sectors from the sources of Quantum Index Pakistan Bureau of Statistics (PBS) and for KSE100 index from (www.investing.com). An Auto Regressive Distributed Lag (ARDL) model and bound test for multiple structural breaks has been applied. It is found that almost the production of all industrial sectors and KSE100 index stock prices are adversely affected by the electricity price shocks both in long-term and short-term. The study suggests that management should implement a moderate monitory policy that is neither more expansionary nor contractionary. The government should provide incentives to those who successfully control energy wastage. A mixed kind of energy policy is recommended with higher weightage to the development of renewable energies to reduce foreign exchange outflow with imported furnace oil. This study is limited to the sectoral production and equity market of Pakistan. A cross-sectional research is encouraged to compare the connection between major energy costs and macroeconomic variables in different countries.
