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Oil Price Risk and Financial Contagion

Khaled Guesmi, Ilyes Abid, Anna Creti, and Julien Chevallier

Year: 2018
Volume: Volume 39
Number: Special Issue 2
DOI: 10.5547/01956574.39.SI2.kgue
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Abstract:
In this paper we test for the existence of equity market contagion, originating from oil price fluctuations, to regional and domestic stock markets. The data are collected over the period from April 1993 to April 2015. We apply an empirical multifactor asset pricing model with three-factor setting to capture the unexpected return and disentangle simple correlation due to fundamentals and contagion. We investigate four regions: the European Monetary Union (EMU), Asia-Pacific (AP), the Non-European Monetary Union (NEMU) and North America (NA). We define contagion as the excess correlation that is not explained by fundamental factors. Oil price risk is shown to be a factor as important as contagion. In addition, oil price fluctuations amplify contagion in the context of regional markets strongly interlinked with the USA.



Understanding Oil Price Dynamics and their Effects over Recent Decades: An Interview with James Hamilton

Fredj Jawadi

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI:
View Abstract

Abstract:
The following interview with Prof. James Hamilton was conducted in April 2018 by Dr. Fredj Jawadi with the assistance of Professors Jim Smith and Adonis Yatchew during the 5th International Symposium in Computational Economics and Finance (ISCEF) held in Paris, France. The interview includes 21 questions related to oil price dynamics. The aim of the discussion was, first, to help the reader gain a better understanding of the factors driving changes in oil prices, second, to examine the impact of oil price shocks on the economy and, third, to understand the dynamics of oil prices in the future. The recent related literature on oil price uncertainty is also discussed. We hope that this interview will give the reader clearer insights into the causes and consequences of oil price change and its evolution over time.





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