Unveiling the factors of oil versus non-oil sources in affecting the global commodity prices: A combination of threshold and asymmetric modeling approach

Siok Kun Sek

Energy, 2019, vol. 176, issue C, 272-280

Abstract: The examination on the effect of oil on the global economy is a continuous work due to the contradict results. Results may also heterogenous across unit (countries and sectors). One of the explanations for such deviation in results is the source of oil. There are claims that oil demand is the main driver to the oil shock and that oil shock could be asymmetric. Concerning these issues, this study quantifies the source of oil into oil demand and oil supply origins and applies the nonlinear modeling to compare how influential oil sources versus non-oil sources in affecting the global commodity prices across sectors. The main contribution of this study is to combine both asymmetric and threshold effects of oil sources into a single regression model which not yet perform by any study. The results have evident on the asymmetric and threshold effects of oil sources, indicating that oil price changes have triggered regime shifts in the macro variables. The oil sources have relatively low impacts in explaining the global commodity price inflation. However, the threshold effect of oil is significant. Our findings suggest that the global demand and supply as the main determinant to the commodity price inflation.

Keywords: Oil demand; Oil supply; Threshold effect; Nonlinear effect; Commodity price (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:176:y:2019:i:c:p:272-280

DOI: 10.1016/j.energy.2019.03.163

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