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This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract) / Series: Department of Economics Working Paper Series

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is employed. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract)

The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My findings suggest that oil volatility effect on liquidity commonality is more substantial for high oil sensitive countries than oil price return effect except five OPEC members, where liquidity commonality is highly influenced by oil the return along with volatility. These results are robust to controlling for possible sources of liquidity commonality as found in the literature. In the second essay, I study the impact of stock liquidity on firms’ future investments. Since stock liquidity decreases the cost of equity, I expect firms’ future investments to increase with stock liquidity. Secondly, I argue that this relation is more pronounced in more financially constrained firms because of their limited access to external capital. Using a sample of more than 9800 firms, from 21 emerging markets and spanning from 2000 to 2015, I find supportive and robust evidence of a positive association between stock liquidity and firms’ future investments. Furthermore, my findings strongly suggest that the liquidity impact on corporate investments is highly influenced by the firms’ financial constraint levels, using four different definitions of financial constraints. My findings are robust due to controlling for other determinants of future investment suggested in the previous literature, and due to controlling for the country and time effects. In addition, the results seem to be consistent with the use of alternative measures of corporate investments and stock liquidity and with alternative model specifications and estimation methodologies.

Since the adoption of the North American Free Trade Agreement (NAFTA), the Canadian dollar has come to be regarded as a petro-currency. Consequently, rising prices of oil and gas (as well as other natural resources) would increase capital inflows that would lead to a higher exchange rate and contribute to the decimation of the export-oriented Canadian manufacturing sector by making Canadian products less competitive internationally. Some have argued that the Canadian economy has started to show symptoms related to the Dutch Disease. One important symptom is the slow rate of productivity growth, which consequently leads to the theory that Canada’s productivity performance depends significantly on the foreign exchange value of the domestic currency. This dissertation attempts to address these issues and seeks to solve the question of whether the Canadian economy is suffering from the Dutch Disease, as well as whether or not movements of the Canadian dollar are responsible for the low Canadian productivity growth since the 1990s.

This thesis consists of four essays that study the effect of demand and supply shocks (namely exchange rate shocks, policy shocks and oil price shocks) on the German automobile industry using time series analysis techniques; i.a. intervention analysis, (time-varying) VAR models, state space modeling and Kalman filtering. Chapter 2 investigates the degree of (EUR/USD) exchange rate susceptibility of the German automobile industry (and mechanical engineering industry). It is shown that – in contrast to well-known warnings by business representatives and politicians alike – an appreciation of the Euro does not necessarily cause German vehicle producing companies “pain” in the sense of an aggravated business climate (although the (quantity) effects on exports are as predicted by theory). Chapter 3 first of all deals with the effect of the global economic crisis on the German manufacturing sector in general and the German automobile industry in particular. Even more important, the influence of the scrapping scheme, that was introduced as part of the “Konjunkturpaket II” in 2009, is researched. Chapter 4 focusses on the role of (systematic) monetary policy as well as the automobile industry in the transmission of oil price shocks to the economy. Chapter 5 extends the results of chapter 4 by examining carefully the role of fuel-efficiency in explaining the different degrees of sensitivity of the vehicle industries in Germany, Japan and the US with regard to oil price shocks.

This research paper revolves around the world’s oldest financial asset, gold, and whatdrives its price, which is of importance for all investors looking to be exposed to gold.The aim of this paper is to identify the main drivers behind the gold price, whichis done by performing a multiple linear regression analysis on the gold price and aset of explanatory variables. The results show that the real yield, measured as theTIPS-rate, has the largest impact on the gold price, followed by the inflation rate.The conclusion that is drawn in the paper is that it is reasonable that the real yield isthe main driver of the gold price, because the higher the real yield, the less attractiveit becomes for investors to own gold, as it is not an interest-bearing asset. / Den här uppsatsen handlar om väarldens äldsta finansiella tillgåang, guld, och vad som driver dess pris, vilket är till nytta för alla investerare som ämnar vara exponerade mot guld. Syftet med uppsatsen är att identifiera de huvudsakliga drivkrafterna bakom guldpriset, vilket görs genom att utföra en multipel linjär regressionsanalys på guldpriset och ett antal förklaringsvariabler. Resultatet visar att realräntan, mätt i form av TIPS-räntan, har störst påverkan på guldpriset, följt av inflationstakten. Slutsatsen som dras i uppsatsen är att det är rimligt att realräntan har störst påverkan på guldpriset, i och med att ju högre realränta, desto mindre attraktivtblir det för investerare att äga guld, då guld inte är en räntebärande tillgång.

Sammanfattning Examensarbete i finansiering, Civilekonomprogrammet Ekonomihögskolan vid Linnéuniversitetet, VT-2017 Författare: Emma Magnusson & Jonathan Hillgren Handledare: Håkan Locking Examinator: Andreas Stephan Titel: For better or for worse – A study on the impact of exchange rate volatility on trade   Bakgrund: Växelkurssvängningar har studerats av flertalet forskare då detta anses vara en osäkerhet vars effekt inte är säkerställd. Då internationell handel är en viktig faktor för tillväxt och välstånd i en nation är dess samband med volatiliteten betydelsefullt att fastställa för att identifiera huruvida inverkan på landet är positiv eller negativ.   Problemformulering: Har volatiliteten i eurons växelkurs mot rörliga valutor någon påverkan på den bilaterala handeln mellan eurozonen och andra europeiska länder?   Syfte: Att kunna urskilja effekten av växelkursvolatilitetens påverkan på export och import vilket kan gynna företag i dess handelsbeslut, strategier och framtidprognostisering.    Metod: Undersökningens tillvägagångssätt grundar sig i en tidsserieanalys där beräkningar för volatiliteten ligger som grund till förklaringsvariabeln i modellen för att studera dess effekt på handeln, vilket skattas genom en noga utvald ARDL-metod. Regressionerna ger både ett lång- och kortsiktigt samband för att visa skillnader i influenser från volatiliteten på export och import för Sverige och Norge som studeras i rapporten.   Slutsatser: De erhållna resultaten för både Sveriges och Norges export visar att ingen påverkan alls kan urskiljas från växelkurssvängningar vilket innebär att exporten fortskrider oavsett grad av volatilitet vilket kan förklaras genom dess förmodade likheter i handelsmönster, varukategorier och exponering mot euroländerna. En möjlig slutsats är även att det inte är volatiliteten i sig som påverkar handeln, utan underliggande faktorer som inte kontrollerats för, vilket åskådliggjordes när oljeprisindex inkluderandes och eliminerade volatilitetens effekt på Norges export. Importen visade en långsiktig negativ effekt av volatiliteten för Norge och en kortsiktig positiv påverkan för Sverige. Skillnader i importen antas bero på olikheter i valutasäkring, trögheter i ekonomin och relationen till EU. / Abstract   Master Thesis in finance, Business and Administration School of Business and Economics at Linnaeus University, VT-2017 Authors: Emma Magnusson & Jonathan Hillgren Advisor: Håkan Locking Examiner: Andreas Stephan Title: For better or for worse – A study on the impact of exchange rate volatility on trade   Background: Exchange rate fluctuations have been studied by numerous researchers, since it is thought of as an uncertainty whose effect is not guaranteed. Because international trade is an important factor to growth and wealth for a country, its connection to volatility is important to establish in order to identify whether the influence on the nation is positive or negative.   Problem: Does the volatility in the exchange rate between the euro and floating currencies affect bilateral trade between the euro area and other European countries?   Purpose: The purpose of the study is to distinguish the effect of the exchange rate volatility on export and import, which can favor companies in their trade decisions and strategies.   Method: The approach of the study is built on a time series analysis where estimates of volatility are underlying the explanatory variable to find its effect on trade, which is calculated by a carefully selected ARDL method. The regressions obtain both long-term and short-term relationships to show differences in the effect from the volatility on export and import for Sweden and Norway, the studied countries in this report.   Conclusions: The results for the export of both Sweden and Norway do not show any impact from the exchange rate fluctuations, which means the export continues regardless of the level of volatility. This can be explained by their similarities in the pattern of trade, products and exposure to the euro countries. Another possible conclusion is that the volatility itself is not affecting trade but that the underlying factors not being controlled for are, which was shown when the oil price index was included and eliminated the effect of the volatility on Norwegian exports. The import exposed a long-term negative effect of the volatility for Norway and a short-term positive effect for Sweden. The disparities are assumed to be due to differences in the use of hedging, inertia in the economy and the relationship with the European Union.

En los últimos años se ha desarollado mucho la literatura que utiliza modelos estocásticos de equilibrio económico general en economía abierta. En esta clase de modelos el primer capítulo estudia si el banco central tiene que fijarse en al inflación medida mirando al los precios al consumo (CPI) o a los precios a la producción. Se demonstra como la introducción de competencia monopolística en el mercado del trabajo y rigidez de los salarios nominales justifica el utilizo de la inflación medida sobre CPI. En el segundo capítulo el enfoque es sobre las diferentes volatilidades de la inflación entre paísos de la unión monetaria y como esto se puede relacionar con diferentes estructuras del mercado del trabajo. En el último capítulo se utiliza un modelo a dos paísos para estudiar las consecuencias de una subida del precio del petróleo sobre la inflación, los salarios reales y el producto interno bruto. / In these last years there has been an increasing literature developing DSGE Open Economy Models with market imperfections and nominal rigidities. It is the so called "New Open Economy Macroeconomics". Within this class of models the first chapter analyses the issue of whether the monetary authority should target Consumer Price Index (CPI) inflation or domestic inflation. It is shown that the introduction of monopolistic competition in the labour market and nominal wage rigidities rationalise CPI inflation targeting. In the second chapter we introduce matching and searching frictions in the labour market and relate different labour market structures across European countries with differences in the volatility of inflation across the same countries. In the last chapter we use a two-country model with oil in the production function and price and wage rigidities to relate movements in wage and price inflation, real wages and GDP growth rate to oil price changes.

L’objectif de la thèse est d’étudier le lien entre le prix du pétrole et les performances macroéconomiques dans les pays exportateurs de pétrole. En adoptant une perspective d’économétrie appliquée, nous recourons à plusieurs techniques récentes de l’économétrie des données de panel. Pour cela trois thèmes sont envisagés. Nous identifions d’abord les fondamentaux de la croissance économique dans ces pays exportateurs de pétrole. En tenant compte du caractère dynamique de la croissance, nos résultats mettent en avant le rôle clé de la rente pétrolière dans l’explication de la croissance économique de ces pays. L’étude des interactions met en évidence qu’à court terme, un choc pétrolier positif améliore le compte courant et bénéficie à la croissance économique mais entraîne aussi une appréciation du taux de change dans les pays exportateurs de pétrole. Pour ce qui concerne les interactions hors prix du pétrole, celles-ci sont limitées. Nous montrons ensuite que les fondamentaux du taux de change effectif réel des pays exportateurs de pétrole reposent principalement sur les termes de l’échange, la productivité relative et les dépenses publiques. L’examen des mésalignements de change montre l’existence d’une forte hétérogénéité entre les pays étudiés. Nous montrons que le régime de change fixe est plus approprié pour diminuer l’ampleur des mésalignements dans les pays exportateurs de pétrole. / The aim of the thesis is to study the link between oil prices and macroeconomic performances in oil exporting countries. Adopting an applied econometrics approach, we use recent techniques of panel data econometrics. For this, three themes are envisaged. We identify first the main determinants of economic growth of these countries. Considering the dynamic nature of growth, our results highlight the key role of the oil rent in explaining economic growth in these countries. The study of macroeconomic interactions highlights that, in the short term, a positive oil price shock improves the current account and boosts economic growth but also leads to an appreciation of the exchange rate in oil exporting countries. Regarding the interaction between macroeconomic variables excluding oil prices, we find that they are relatively weak. We then show that the fundamentals of the real effective exchange rates in oil exporting countries are mainly the terms of trade, the relative productivity and government expenditures. The study of exchange rate misalignments shows the existence of a strong heterogeneity among the countries studied. However, our investigations highlight the key role of exchange rate regimes in explaining the magnitude of these exchange rates misalignments. In particular, we show that the fixed exchange rate regime is more appropriate to reduce the magnitude of the exchange rate misalignments in oil-exporting countries.