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Journal article
Common and Country-Specific Uncertainty Fluctuations in Major Oil-Producing Countries: A Comparative Study
Journal of economic integration, v 35(4), pp 724-750
01 Dec 2020
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
In the wake of recent political developments worldwide, future oil supply prospects have become doubtful and uncertainty plays a non-negligible role in determining the dynamics of major macroeconomic variables. This study constructs a factor model with time-varying loadings to decompose the variance of important macroeconomic and financial series for the top 10 oil-producing countries into the contributions from country-specific uncertainty and common uncertainty. The relative importance of the uncertainty estimates in explaining volatility in production, investment, total exports, the exchange rate, and stock prices seems to vary over time, with evidence of alternating periods of high and low persistent uncertainty. Global uncertainty plays a primary role output growth, investment, exports, and stock prices in all countries. Globalization and trade openness contribute to amplifying the international transmission of volatility, explaining the increasing importance of the global uncertainty factor.
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Details
- Title
- Common and Country-Specific Uncertainty Fluctuations in Major Oil-Producing Countries: A Comparative Study
- Creators
- Refk Selmi - ESC Pau Business Sch, Finance, Pau, FranceJamal Bouoiyour - University of Pau and Pays de l'AdourShawkat Hammoudeh - University of Economics Ho Chi Minh City
- Publication Details
- Journal of economic integration, v 35(4), pp 724-750
- Publisher
- Sejong Univ, Center Int Economics
- Number of pages
- 27
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000595529700006
- Scopus ID
- 2-s2.0-85097306895
- Other Identifier
- 991019167520604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics