Browsing by Subject "Petroleum--Prices."

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    Time frequency representation and its economic applications
    (2009) Akkoyun, Hüseyin Çağrı
    This thesis analyzes real oil price crises and US output gap by using time frequency representation. Firstly, time frequency representation is introduced by giving some basic definitions, formulations and illustrative examples. After that, frequency characteristics of demand-side driven and supply-side driven real oil price shocks are analyzed. Also, frequency characteristic of US output gap is analyzed by dividing the output gap series in three parts.
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    ItemOpen Access
    Transmission of oil price volatility to emerging stock markets
    (2009-09) Kantur, Zeynep
    Oil price volatility is a crucial factor that explains stock price movements. Recent studies show that oil price shocks and its volatility explain the stock market movements better than most of the variables. This thesis investigates the effects of oil price volatility and its asymmetry on emerging stock markets using bivariate asymmetric BEKK1 model which was first introduced by Engle et al. (1993) and extended for asymmetric effects by Kroner and Ng (1998). The model is estimated using weekly returns on Malaysia, Mexico, South Korea, Taiwan and Turkey together with the measure of the world oil price. Over the sample period, 48th week of 1988 through 46th week of 2008, strong evidence of volatility spillover is found for Malaysia, Mexico, South Korea and Turkey. Weak evidence of volatility spillover is found for Taiwan. Although results of significant volatility spillovers are obtained, news impact surfaces show small quantitative implications. This thesis also examines whether volatility spillovers occur simultaneously. There is strong evidence of volatility spillover for Malaysia and South Korea, and weak evidence of volatility spillover for Mexico, suggesting that these countries’ stock markets vary contemporaneously with oil price variations.