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Middle East and Central Asia > Oman

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Energy and the Macroeconomy x
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Cover IMF Working Papers
Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models
Nidhaleddine Ben Cheikh
,
Samy Ben Naceur
,
Mr. Oussama Kanaan
, and
Christophe Rault
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.
Keywords:
WP; oil price change; GCC country; correlation coefficient; GCC stock markets; oil prices; smooth transition regression models; GCC stock price volatility; hedging strategy; Stock markets; Asset prices; Oil; Stocks; Global
Cover IMF Working Papers
Desynchronized: The Comovement of Non-Hydrocarbon Business Cycles in the GCC
Mr. Serhan Cevik
This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By applying the Christiano-Fitzgerald asymmetric band-pass filter and a mean corrected concordance index, the paper identifies the degree of non-hydrocarbon business cycle synchronization?one of the main prerequisites for countries considering to establish a monetary union. The empirical results show low and heterogeneous synchronization in non-hydrocarbon business cycles across the GCC economies, and a decline in the degree of synchronicity in the 2000s, if Kuwait is excluded from the sample, partly because of divergent fiscal policies.
Keywords:
WP; GCC country; aggregate demand; Business cycles; business cycle synchronization; band-pass filter; concordance; GCC economy; Non-hydrocarbon business cycle frequency; business cycle analysis; pairwise correlation coefficients; business cycle desynchronization; Monetary unions; Private consumption; Government consumption; Public investment spending; Asia and Pacific; Global