Essays about: "Price Shocks"

Showing result 11 - 15 of 81 essays containing the words Price Shocks.

  1. 11. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jakub Kacperczyk; Moritz Kornherr; [2023]
    Keywords : Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

    Abstract : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. READ MORE

  3. 12. Beyond the Headlines: Swedish Inflation and Labour Market Tightness During 2020-2022

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Jonas Isak Alveteg; Alexander Manieri; [2023]
    Keywords : Inflation; Labour Market Tightness;

    Abstract : This thesis explores Swedish inflation and labour market tightness during 2020-2022. We decompose headline inflation into core inflation, captured by the weighted median inflation, and headline shocks. We use the modified Phillips curve as presented in Ball et al. READ MORE

  4. 13. A time series analysis of the impact of the COVID-19 pandemic on container shipping freight rates: An application to the Asia-Europe trade route

    University essay from Göteborgs universitet/Graduate School

    Author : Chen Yuchun; Zhou Shiyu; [2022-08-03]
    Keywords : Container shipping; Freight rates; COVID-19; Oil prices; Stock market prices; Time series model; GARCH;

    Abstract : The outbreak of the COVID-19 pandemic caused a sudden disruption to the shipping industry. However, for container shipping, freight rates have reached record highs during the pandemic. Shipping companies realise that understanding the impact of exogenous shocks on freight rate fluctuations to forecast freight rates is critical. READ MORE

  5. 14. ASSESSING THE INFLUENCE OF NATURAL GAS PRICE SHOCKS ON DAY-AHEAD ELECTRICITY PRICES IN SWEDEN : An OLS- and Quantile Regression Approach

    University essay from Umeå universitet/Nationalekonomi

    Author : Kristoffer Sehlberg; [2022]
    Keywords : ;

    Abstract : This paper examines how day-ahead electricity prices in Sweden are affected by increased natural gas prices, and studies to see if electricity prices in different bidding areas are affected differently by increased natural gas prices. This paper does so by conducting both an OLS regression and a quantile regression, estimated on the 90th quantile. READ MORE

  6. 15. Oil Shocks and the Russian Economy: Inflation Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Elena Akhmedova; [2022]
    Keywords : oil shocks; oil exporters; economic policy; Russia; time varying parameters;

    Abstract : This paper aims to assess the effect of oil shocks on the Russian econ- omy, focusing on but not limited to inflation, throughout 2000-2019, with the following main points with respect to economic policy: switching to in- flation targeting in 2014 and undergoing several iterations of the fiscal rule. The paper focuses on estimating a Bayesian time-varying parameter VAR model, additionally calculating the oil price pass through to inflation using the Phillips curve approach and modelling impulse responses to oil shocks us- ing non-Bayesian vector autoregressions. READ MORE