Relevant bibliographies by topics / Directional and volatility dependence

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Directional and volatility dependence'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Directional and volatility dependence"

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Kim, Jong-Min, and S. Y. Hwang. "The copula directional dependence by stochastic volatility models." Communications in Statistics - Simulation and Computation 48, no. 4 (2018): 1153–75. http://dx.doi.org/10.1080/03610918.2017.1406512.

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Raggad, Bechir, and Elie Bouri. "Quantile Dependence between Crude Oil Returns and Implied Volatility: Evidence from Parametric and Nonparametric Tests." Mathematics 11, no. 3 (2023): 528. http://dx.doi.org/10.3390/math11030528.

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We examine the daily dependence and directional predictability between the returns of crude oil and the Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery of quantile-based techniques, namely the quantile unit root test, the causality-in-quantiles test, and the cross-quantilogram approach. Our main results show evidence of significant bi-directional predictability that is quantile-dependent and asymmetric. A significant positive Granger causality runs from oil (OVX) returns to OVX (oil) returns when both series are in similar lower (upper) quantiles, as well as in op
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Stádník, Bohumil. "The Riddle of Volatility Clusters." Business: Theory and Practice 15, no. (2) (2014): 140–48. https://doi.org/10.3846/btp.2014.14.

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In this financial engineering research we evaluate if observed non ­normalities in the market price distributions are caused mainly by a volatility clustering or also by another non­clustering mechanism. Such findings allow us to assess accor d­ ing to which rules the market price is actually developing or even make conclusions about market price directional forecasting chances, based on the realistic financial processes which we assign to the clustering and non ­clustering mechanisms. In the research we suggest certain methodology how to recognize these processes behind the market price devel
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Jiang, Zhuhua, Jose Arreola Hernandez, Ron P. McIver, and Seong-Min Yoon. "Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables." Systems 10, no. 3 (2022): 80. http://dx.doi.org/10.3390/systems10030080.

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The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network appr
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Sheraz, Muhammad, Silvia Dedu, and Vasile Preda. "Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data." Entropy 24, no. 10 (2022): 1410. http://dx.doi.org/10.3390/e24101410.

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This paper aims to empirically examine long memory and bi-directional information flow between estimated volatilities of highly volatile time series datasets of five cryptocurrencies. We propose the employment of Garman and Klass (GK), Parkinson’s, Rogers and Satchell (RS), and Garman and Klass-Yang and Zhang (GK-YZ), and Open-High-Low-Close (OHLC) volatility estimators to estimate cryptocurrencies’ volatilities. The study applies methods such as mutual information, transfer entropy (TE), effective transfer entropy (ETE), and Rényi transfer entropy (RTE) to quantify the information flow betwee
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Kim, Jong-Min, and Sun Young Hwang. "Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series." Applied Economics 53, no. 4 (2020): 506–20. http://dx.doi.org/10.1080/00036846.2020.1808184.

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Stádník, Bohumil. "Market Price Forecasting and Profitability – How to Tame Mrandom Walk?" Business: Theory and Practice 14, no. (2) (2013): 166–76. https://doi.org/10.3846/btp.2013.18.

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Directional forecasting of a future market price development of liquid investment instruments is the focus of interest of investment companies, individual investors, banks and other financial market participants. This problematic has still not been fully answered because the market price development is a process which is very close to a random walk and appropriate models are still under the discussion. The opportunities can be used for the better prediction, their usage for profit making, quantification and also their discussion according to the current financial market models (models with the
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Boateng, Ebenezer, Peterson Owusu Junior, Anokye M. Adam, Mac Jr Abeka, Thobekile Qabhobho, and Emmanuel Asafo-Adjei. "Quantifying Information Flows among Developed and Emerging Equity Markets." Mathematical Problems in Engineering 2022 (August 22, 2022): 1–19. http://dx.doi.org/10.1155/2022/2462077.

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We rely on daily changes in implied volatility indices for the US stock market (VIX), developed markets excluding the US (VXEFA), stock markets in Brazil (VXEWZ), Russia (RVI), India (NIFVIX), China (VXFXI), and the overall emerging market volatility index (VXEEM) to examine the degree of information flows among the markets in the coronavirus pandemic. The study also employs the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) to decompose the data into intrinsic mode functions (IMFs). Subsequently, we cluster the IMFs based on their level of frequencies into short-
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Oviedo-Gómez, Andrés, Sandra Milena Londoño-Hernández, and Diego Fernando Manotas-Duque. "Directional Spillover of Fossil Fuels Prices on a Hydrothermal Power Generation Market." International Journal of Energy Economics and Policy 13, no. 1 (2023): 85–90. http://dx.doi.org/10.32479/ijeep.13641.

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The Colombian electricity market is based on a hydrothermal power generation market with a strong dependence on exogenous variables such as fossil fuel prices and climatology factors. Besides, the Colombian economy is characterizable by relevant mining-energy activities. Therefore, the main objective of this research was to evaluate the directional spillovers between the electricity spot prices and gas, coal, and crude oil prices and thus provide relevant information for the electricity market agents to identify the risk related to energy commodity price fluctuations. The dataset used in this
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Akanni, Lateef Olawale. "Returns and volatility spillover between food prices and exchange rate in Nigeria." Journal of Agribusiness in Developing and Emerging Economies 10, no. 3 (2020): 307–25. http://dx.doi.org/10.1108/jadee-04-2019-0045.

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PurposeEmpirical studies have documented the linkage between exchange rate movement and food prices. However, the purpose of this study is to investigate the degree and direction of returns and volatility spillover transmission between exchange rate and domestic food prices in Nigeria.Design/methodology/approachThe study uses weekly data from January 2010 to January 2019. Also, the study adopts the improved Diebold and Yilmaz (2012) approach to evaluate the return and volatility spillover between food price and naira to dollar exchange rate. The study also account for 2016 exchange rate crash
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Dissertations / Theses on the topic "Directional and volatility dependence"

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Noureldin, Diaa. "Essays on multivariate volatility and dependence models for financial time series." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56.

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This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields
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Sanchez, Caballero Lizeth Katherine. "Geostatistical modeling of geotechnical variables considering directional dependence." Electronic Thesis or Diss., Université Paris sciences et lettres, 2022. https://thesesprivees.mines-paristech.fr/2022/2022UPSLM045_archivage.pdf.

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Avec la modélisation géologique et géométallurgique, la modélisation géotechnique est l'une des composantes essentielles de la planification et du développement de projets miniers à ciel ouvert et souterrains. Une caractéristique particulière de nombreuses variables géotechniques est d'être dépendante de la direction, c'est-à-dire que la mesure d'une carotte de sondage dépend non seulement de sa position géographique mais aussi de son orientation. Pour tenir compte de cette caractéristique, il est proposé de régionaliser les variables géotechniques dans un espace à cinq dimensions correspondan
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Yeung, Alan. "Volatility level dependence and the CEV market model." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/33066.

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Interest-rate volatility is known to be level-dependent. However, Filipovic, Larsson and Trolle (2017) found that volatility becomes more level-dependent as the interest rate approaches the zero lower bound. This varying volatility level-dependence feature motivates the use of CEV market model to model the interest rate. In this dissertation, we compare the lognormal forward LIBOR market model, the CEV market model and the normal market model through regression analysis, hedging analysis and calibration analysis to assess their performance. The investigation is performed using EURIBOR 10-year
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Ramnarayan, Kalind. "Level Dependence in Volatility in Linear-Rational Term Structure Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31207.

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The degree of level dependence in interest rate volatility is analysed in the linearrational term structure model. The linear-rational square-root (LRSQ) model, where level dependence is set a priori, is compared to a specification where the factor process follows CEV-type dynamics which allows a more flexible degree of level dependence. Parameters are estimated using an unscented Kalman filter in conjunction with quasi-maximum likelihood. An extended specification for the state price density process is required to ensure reliable parameter estimates. The empirical analysis indicates that the
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Ulbrich, Carolin [Verfasser]. "Spectral and directional dependence of light-trapping in solar cells / Carolin Ulbrich." Aachen : Hochschulbibliothek der Rheinisch-Westfälischen Technischen Hochschule Aachen, 2011. http://d-nb.info/1018190570/34.

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Tran, Vu. "Sovereign credit ratings and financial market volatility : bi-directional relationships and heterogeneous impact." Thesis, Bangor University, 2015. https://research.bangor.ac.uk/portal/en/theses/sovereign-credit-ratings-and-financial-market-volatility--bidirectional-relationships-and-heterogeneous-impact(ccca6f4a-fcfb-4acc-95eb-d6c7acff063f).html.

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This thesis examines the bi-directional relationship between sovereign credit ratings and financial market volatility. Prior literature focuses on one aspect of the relationship which is the impact of credit rating actions on financial assets’ returns, whereas the links between rating actions and market volatility have attracted little attention. Based on a comprehensive dataset of rating events from the three largest credit rating agencies (CRAs) i.e. S&P, Moody’s, and Fitch, this thesis presents unique evidence of (i) inter-relationships between sovereign rating information and equity market
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Xia, Fujie. "Topics in dependence modelling." Thesis, The University of Sydney, 2014. http://hdl.handle.net/2123/11645.

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This thesis focuses on modelling of dependence across random variables. It contains three essays: (1) Modelling and forecasting realised variance covariance matrices (VCM); (2) VaR-based diversification under non-linear dependence and heavy tails; and (3) Epsilon-complexity for bivariate copulas. In essay 1, a new model for modelling and forecasting realized VCMs is proposed. The approach is based on the Cholesky decomposition (CD) of realised VCMs using the Realised Kernel (RK) method on tick-by-tick data. The principal components of the Cholesky factorizations are analysed using the distr
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Ahmed, Salman. "Topics in macro finance." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/271307.

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In terms of the specific topics covered in the thesis, my research aims to further understanding of risky asset return and volatility behaviour from a macro-finance perspective. In three of the four chapters, the macro drivers of both risky asset returns (the first moment) and volatility (the second moment) are studied and analyzed in detail across different geographies and various time periods. The use of both long sample sets and relevant sub-sample periods allows for a more in-depth assessment of the nature and form of these drivers as well as their influence on risky asset return and volat
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Wan, Mahmood Wan Mansor. "Non-linear dependence of returns, volatility and trading volume in currency futures markets." Thesis, Bangor University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267141.

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Yoder, Tim. "Investigation in to nonlinear grasshoff number dependence of convection within a hot melt during directional solidification." Connect to this title online, 2005. http://hdl.handle.net/1811/311.

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Thesis (Honors)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formattted into pages: contains 31 p.; also includes graphics. Includes bibliographical references (p. 31). Available online via Ohio State University's Knowledge Bank.
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Books on the topic "Directional and volatility dependence"

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Edwards, Sebastian. Volatility dependence and contagion in emerging equity markets. National Bureau of Economic Research, 2001.

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Henry, Marc. An investigation of long range dependence in intra-day foreign exchange rate volatility. London School of Economics, Financial Markets Group, 1997.

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Elizabeth, Ridlington, Pregulman Robert, and Washington Public Interest Research Group., eds. Predictably unpredictable: Volatility in future energy supply and price from over-dependence on natural gas. Washington Public Interest Research Group Foundation, 2003.

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Scott, Louis O. A little bit of evidence on the intertemporal dependence in the volatility of stock prices. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1985.

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L, Maples Anna, and United States. National Aeronautics and Space Administration., eds. MPS solidification model: Final report, analysis and calculation of macrosegregation in a casting ingot. General Electric Co., Space Systems Division, Huntsville Center Operations, 1985.

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Binary Options: Strategies for Directional and Volatility Trading. Wiley & Sons, Incorporated, John, 2012.

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Binary Options: Strategies for Directional and Volatility Trading. Wiley & Sons, Incorporated, John, 2012.

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Binary Options: Strategies for Directional and Volatility Trading. Wiley & Sons, Limited, John, 2012.

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Binary Options: Strategies for Directional and Volatility Trading. Wiley & Sons, Incorporated, John, 2012.

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Binary Options Strategies For Directional And Volatility Trading. John Wiley & Sons, 2012.

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Book chapters on the topic "Directional and volatility dependence"

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Beran, Jan, Britta Steffens, and Sucharita Ghosh. "Long-Range Dependence in Directional Data." In Forum for Interdisciplinary Mathematics. Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-1044-9_21.

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Hong, Haikun, and Sizhen Du. "Discovering Latent Dependence of Large Volatility Events." In Advances in Natural Computation, Fuzzy Systems and Knowledge Discovery. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70665-4_49.

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Xue, Gong, and Songsak Sriboonchitta. "How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model." In Modeling Dependence in Econometrics. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03395-2_32.

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Terdik, György. "Long Range Dependence in Third Order for Non-Gaussian Time Series." In Advances in Directional and Linear Statistics. Physica-Verlag HD, 2010. http://dx.doi.org/10.1007/978-3-7908-2628-9_18.

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Kim, Seongyong, and Daeyoung Kim. "Directional Dependence Analysis Using Skew-Normal Copula-Based Regression." In Statistics and Causality. John Wiley & Sons, Inc., 2016. http://dx.doi.org/10.1002/9781118947074.ch6.

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Boonyanuphong, Phattanan, and Songsak Sriboonchitta. "An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory." In Modeling Dependence in Econometrics. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03395-2_27.

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Liu, Jianxu, Songsak Sriboonchitta, Hung T. Nguyen, and Vladik Kreinovich. "Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach." In Modeling Dependence in Econometrics. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03395-2_17.

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Xiongtoua, Tongvang, and Songsak Sriboonchitta. "Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People’s Democratic Republic Using Copula-Based GARCH Approach." In Modeling Dependence in Econometrics. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03395-2_13.

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Chan, Joshua C. C., and Cody Y. L. Hsiao. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence." In Bayesian Inference in the Social Sciences. John Wiley & Sons, Inc., 2014. http://dx.doi.org/10.1002/9781118771051.ch6.

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Teyssière, Gilles. "Interaction Models for Common Long-Range Dependence in Asset Prices Volatility." In Processes with Long-Range Correlations. Springer Berlin Heidelberg, 2003. http://dx.doi.org/10.1007/3-540-44832-2_14.

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Conference papers on the topic "Directional and volatility dependence"

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Sang, Siyuan, Ru Bai, and Haibo Li. "A Method for Generating Wind Speed Time Series Data That Effectively Maintains Both Temporal Dependence and Cross-Correlation Characteristics : Quantifying Wind Resource Volatility Risk: The Application of a Novel Stochastic Data Generation Method in the Securitization of Wind Power Projects." In 2024 4th International Conference on Energy, Power and Electrical Engineering (EPEE). IEEE, 2024. https://doi.org/10.1109/epee63731.2024.10875330.

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Dehdari, V., M. Kariznovi, and M. R. Tenove. "Enhancing Short-Term Oil Forecasting in SAGD Operations Using ARIMAX-GARCH and Bi-directional LSTM Models." In SPE Canadian Energy Technology Conference and Exhibition. SPE, 2025. https://doi.org/10.2118/224013-ms.

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Abstract This study focuses on enhancing short-term oil forecasting in Steam-Assisted Gravity Drainage (SAGD) operations by leveraging advanced ARIMAX-GARCH and Bi-directional LSTM models. SAGD, a vital method for bitumen extraction, involves injecting steam into the reservoir to facilitate oil production through gravity drainage. Conventional analytical models often fail to account for critical operational parameters, such as subcool, and lack the sensitivity required to capture short-term variations and distinct SAGD phases (Ramp-up, Plateau, and Decline). To address these limitations, this
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Schön, J. H., D. T. Georgi, and O. Fanini. "Imparting Directional Dependence on Log-derived Permeability." In SPE Annual Technical Conference and Exhibition. Society of Petroleum Engineers, 2001. http://dx.doi.org/10.2118/71721-ms.

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Matsui, W. "Directional dependence of indoor multipath propagation characteristics." In IEEE Antennas and Propagation Society International Symposium 1992 Digest. IEEE, 1992. http://dx.doi.org/10.1109/aps.1992.221638.

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Das, Alok K., Amar K. Ganguly, Mehabub A. Mondal, and Dilip K. Paul. "Temperature dependence of polymer waveguide directional coupler." In Optical Tools for Manufacturing and Advanced Automation, edited by Ramon P. DePaula. SPIE, 1994. http://dx.doi.org/10.1117/12.169935.

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Al-Naami, Khaled, Swarup Chandra, Ahmad Mustafa, et al. "Adaptive encrypted traffic fingerprinting with bi-directional dependence." In ACSAC '16: 2016 Annual Computer Security Applications Conference. ACM, 2016. http://dx.doi.org/10.1145/2991079.2991123.

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Sandu, Diana-Mihaela. "THE IMPACT OF ESG CONTROVERSIES AND ESG PERFORMANCE ON STOCK RETURN VOLATILITY." In 13th International Scientific Conference „Business and Management 2023“. Vilnius Gediminas Technical University, 2023. http://dx.doi.org/10.3846/bm.2023.1032.

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This study examines the impact of environmental, social and governance performance and controversies on stock return volatility. For this purpose, I considered a sample of 1095 European companies from 23 countries during 2019–2022 and it was applied panel regression. This study found a direct influence of ESG controversies on stock return volatility, but the coefficient of the dependence is close to zero. Similarly, the ESG performance has a direct impact on volatility and the coefficient of dependence is different from zero. This result shows that companies with a better performance on ESG fa
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Sawada, Hirokazu, Hiroyuki Nakase, Shuzo Kato, Masahiro Umehira, Katsuyoshi Sato, and Hiroshi Harada. "Polarization dependence in double directional propagation channel at 60GHz." In 2009 IEEE 20th International Symposium on Personal, Indoor and Mobile Radio Communications - (PIMRC 2009). IEEE, 2009. http://dx.doi.org/10.1109/pimrc.2009.5450006.

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LIU, P., Y. W. ZHANG, and C. LU. "DIRECTIONAL DEPENDENCE OF SURFACE MORPHOLOGICAL EVOLUTION OF HETEROEPITAXIAL FILMS." In Proceedings of the International Conference on Scientific and Engineering Computation (IC-SEC) 2002. PUBLISHED BY IMPERIAL COLLEGE PRESS AND DISTRIBUTED BY WORLD SCIENTIFIC PUBLISHING CO., 2002. http://dx.doi.org/10.1142/9781860949524_0104.

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Ravelo, Ramon. "Directional-Dependence in Shock-Induced Melting of FCC Metals." In SHOCK COMPRESSION OF CONDENSED MATTER - 2005: Proceedings of the Conference of the American Physical Society Topical Group on Shock Compression of Condensed Matter. AIP, 2006. http://dx.doi.org/10.1063/1.2263315.

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Reports on the topic "Directional and volatility dependence"

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Edwards, Sebastian, and Raul Susmel. Volatility Dependence and Contagion in Emerging Equity Markets. National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8506.

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Gamba-Santamaría, Santiago, José Eduardo Gómez-González, Jorge Luis Hurtado-Guarín, and Luis Fernando Melo-Velandia. Volatility spillovers among global stock markets : measuring total and directional effects. Banco de la República, 2017. http://dx.doi.org/10.32468/be.983.

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Linton, Oliver, Tatsushi Oka, Yoon-Jae Whang, and Heejoon Han. The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series. Institute for Fiscal Studies, 2014. http://dx.doi.org/10.1920/wp.cem.2014.0614.

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Ríos, Germán, Federico Ortega, and J. Sebastián Scrofina. Sub-national Revenue Mobilization in Latin America and Caribbean Countries: The Case of Venezuela. Inter-American Development Bank, 2012. http://dx.doi.org/10.18235/0011403.

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This paper analyzes the high fiscal dependence of Venezuelan states and municipalities on the central government and the political economy process embedded in the interaction between the central government and sub-national entities. Also explored is whether there is scope to increase sub-national governments' revenues, improve the current intergovernmental transfer system, and reduce horizontal imbalances; of particular importance is analyzing the impact of current transfer mechanisms on sub-national governments' revenues volatility. Following a presentation of Venezuela's economic background,
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León, John Jairo, Leandro Gaston Andrian, and Jorge Mondragón. Optimal Commodity Price Hedging. Banco Interamericano de Desarrollo, 2022. http://dx.doi.org/10.18235/0004649.

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The dependence of many countries in the region on oil exports makes them vulnerable to oil price volatility. In particular, the sharp declines observed between 2014 and 2016 show how public finances weakened with significant debt increases in these countries. A strategy to mitigate the effect of sharp falls in oil prices would allow oil exporting countries to suffer a smaller impact on their public finances. This paper shows that using put options to insure against oil price hikes lowers public debt and fiscal deficits.
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Schmid, Juan Pedro, and Xavier Malcolm. The Fear Factor: A Back-Of-The-Envelope Calculation on the Economic Risk of an Ebola Scare in the Caribbean. Inter-American Development Bank, 2014. http://dx.doi.org/10.18235/0008451.

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This brief presents simulations of an Ebola scare in the Caribbean, including three highly tourism-dependent economies, The Bahamas, Barbados, and Jamaica. On the basis of the experience of Mexico in 2009 with swine flu, we simulate a short but sharp drop in tourist arrivals resulting from tourists' worries about Ebola. The Caribbean is special in that tourism contributes directly and indirectly up to half of its GDP. The simulations indicate that the volatility of tourism combined with that dependence creates significant vulnerability for the region. Under the worst-case scenario, a noticeabl
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Valencia, Oscar, Juliana Gamboa-Arbeláez, and Gustavo Sánchez. Fiscal Adjustments and the Asymmetric Effect of Oil Shocks. Inter-American Development Bank, 2025. https://doi.org/10.18235/001340310.18235/0013403.

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This research employs a quadratic exponential model to examine the dynamics of fiscal adjustments in the context of oil shocks. The findings suggest significant state dependence, with past fiscal adjustments increasing the likelihood of future adjustments and an asymmetry in oil shock effects. Supply shocks reduce the probability of fiscal adjustments, while demand shocks increase it. Furthermore, the impact of these shocks depends on several factors. Oil demand shocks positively impact fiscal adjustment even during downturns, providing a stabilizing effect. Net oil exporters are more affected
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Valencia, Oscar, Juliana Gamboa-Arbeláez, and Gustavo Sánchez. Fiscal Adjustments and the Asymmetric Effect of Oil Shocks. Inter-American Development Bank, 2025. https://doi.org/10.18235/0013403.

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Abstract:
This research employs a quadratic exponential model to examine the dynamics of fiscal adjustments in the context of oil shocks. The findings suggest significant state dependence, with past fiscal adjustments increasing the likelihood of future adjustments and an asymmetry in oil shock effects. Supply shocks reduce the probability of fiscal adjustments, while demand shocks increase it. Furthermore, the impact of these shocks depends on several factors. Oil demand shocks positively impact fiscal adjustment even during downturns, providing a stabilizing effect. Net oil exporters are more affected
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