Relevant bibliographies by topics / Volatility dependence

Contents

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

Academic literature on the topic 'Volatility dependence'

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

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Journal articles on the topic "Volatility dependence"

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YANG, CHUNXIA, SEN HU, BINGYING XIA, and RUI WANG. "LONG MEMORY IN STOCK MARKET VOLATILITY: THE INTERNATIONAL EVIDENCE." Modern Physics Letters B 26, no. 20 (2012): 1250128. http://dx.doi.org/10.1142/s021798491250128x.

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It is still a hot topic to catch the auto-dependence behavior of volatility. Here, based on the measurement of average volatility, under different observation window size, we investigated the dependence of successive volatility of several main stock indices and their simulated GARCH(1, 1) model, there were obvious linear auto-dependence in the logarithm of volatility under a small observation window size and nonlinear auto-dependence under a big observation. After calculating the correlation and mutual information of the logarithm of volatility for Dow Jones Industrial Average during different
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Guo, Mingyuan, and Xu Wang. "The dependence structure in volatility between Shanghai and Shenzhen stock market in China." China Finance Review International 6, no. 3 (2016): 264–83. http://dx.doi.org/10.1108/cfri-09-2015-0122.

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Purpose – The purpose of this paper is to analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data. Design/methodology/approach – Using a multiplicative error model (hereinafter MEM) to describe the margins in volatility of China’s Shanghai and Shenzhen stock market, this study adopts static and time-varying copulas, respectively, estimated by maximum likelihood estimation method to describe the dependence structure in volatility between Shanghai and Shenzhen stock market in China. Findings – This paper has identified the a
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Lai, Wing-Choong, and Kim-Leng Goh. "Dependence Structure Between Renminbi Movements and Volatility of Foreign Exchange Rate Returns." China Report 57, no. 1 (2021): 57–78. http://dx.doi.org/10.1177/0009445520984737.

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This article investigates the linkages of the movements in Renminbi (RMB) to volatility of exchange rate returns of other currencies before and after the yuan devaluation on 11 August 2015. A comparison between the onshore Chinese yuan (CNY) and the offshore Chinese yuan (CNH) is made. Standard regression methods underestimate the tail dependence between yuan and other exchange rate volatility, as financial data are non-normally distributed, especially when extreme event occurs. We apply Gumbel copulas to capture the presence of tail dependence between RMB returns and the volatility of exchang
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LUONG, CHUONG, and NIKOLAI DOKUCHAEV. "MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS." Annals of Financial Economics 11, no. 02 (2016): 1650007. http://dx.doi.org/10.1142/s201049521650007x.

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The paper studies the modeling of time series with the prescribed dependence of the volatility on the sampling frequency. This dependence is often observed for financial time series. We suggest to model the dependence of volatility on sampling frequency via delay equations for the underlying prices. It appears that these equations allow to model the price processes with volatility that increases when the sampling rates increase. In addition, these equations are able to model the inverse phenomena where the volatility decreases with the increase in sampling frequencies.
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Shi, Yafeng, Xiangxing Tao, Yanlong Shi, Nenghui Zhu, Tingting Ying, and Xun Peng. "Can Technical Indicators Provide Information for Future Volatility: International Evidence." Journal of Systems Science and Information 8, no. 1 (2020): 53–66. http://dx.doi.org/10.21078/jssi-2020-053-14.

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AbstractWe employ the static and dynamic copula models to investigate whether technical indicators provide information on volatility in the next trading day, where the volatility is measured by daily realized volatility. Our empirical results, based on long samples of 8 well-known stock indexes, suggest that a significant and asymmetric tail dependence between the technical indicators based on moving average and the next day volatility. The level of dependence change over time in a persistent manner. And the dependence structure presents some distinct differences between emerging market indexe
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Martynov, Mikhail, and Olga Rozanova. "On dependence of volatility on return for stochastic volatility models." Stochastics 85, no. 5 (2012): 917–27. http://dx.doi.org/10.1080/17442508.2012.673616.

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Lee, Eun-Joo, Noah Klumpe, Jonathan Vlk, and Seung-Hwan Lee. "Modeling Conditional Dependence of Stock Returns Using a Copula-based GARCH Model." International Journal of Statistics and Probability 6, no. 2 (2017): 32. http://dx.doi.org/10.5539/ijsp.v6n2p32.

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Investigating dependence structures of stocks that are related to one another should be an important consideration in managing a stock portfolio, among other investment strategies. To capture various dependence features, we employ copula to overcome the limitations of traditional linear correlations. Financial time series data is typically characterized by volatility clustering of returns that influences an estimate of a stock’s future price. To deal with the volatility and dependence of stock returns, this paper provides procedures of combining a copula with a GARCH model which leads to the c
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Candido Silva Filho, Osvaldo, and Flavio Augusto Ziegelmann. "Assessing some stylized facts about financial market indexes: a Markov copula approach." Journal of Economic Studies 41, no. 2 (2014): 253–71. http://dx.doi.org/10.1108/jes-06-2012-0080.

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Purpose – The aim of this paper is to measure and evaluate the relationship between returns-volatility and trading volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The time dynamic dependence parameter is allowed to evolve according to a restricted ARMA-type equation which includes a constant term that is driven by a hidden two-state first-order Markov chain. Findings – In using this time dynamics in conjunction with non-elliptical distribution functions and tail dependence measure, the authors are allowing for (and focusin
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Sosa Castro, Magnolia Miriam, Christian Bucio Pacheco, and Héctor Eduardo Díaz Rodríguez. "Extreme volatility dependence in exchange rates." Cuadernos de Economía 40, no. 82 (2021): 25–56. http://dx.doi.org/10.15446/cuadecon.v40n82.79400.

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This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional
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Kalnina, Ilze, and Kokouvi Tewou. "Cross-sectional dependence in idiosyncratic volatility." Journal of Econometrics 249 (May 2025): 106003. https://doi.org/10.1016/j.jeconom.2025.106003.

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Dissertations / Theses on the topic "Volatility dependence"

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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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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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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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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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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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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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Vesterdal, Bjørn Erlend. "Volatility and Dependence in Fixed Income Forward Rates with Application to Market Risk of Derivative Portfolios." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9447.

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<p>This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. A brief background on popular quantile-based risk measures is given. A short introduction is given to GARCH-type volatility models, as well as copula and vine models for dependence between random variables. Some details on parameter estimation and sampling related to these models are also provided. A backtesting procedure is performed using various combinations of volatility and dependence models. The results of this procedur
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Grothe, Oliver. "Contributions to short-term financial risk management : volatility in high frequency data, Lévy processes and the dependence of jumps /." Münster : Verl.-Haus Monsenstein und Vannerdat, 2008. http://d-nb.info/991504089/04.

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Griebenow, Gideon. "GARCH models based on Brownian Inverse Gaussian innovation processes / Gideon Griebenow." Thesis, North-West University, 2006. http://hdl.handle.net/10394/1019.

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In classic GARCH models for financial returns the innovations are usually assumed to be normally distributed. However, it is generally accepted that a non-normal innovation distribution is needed in order to account for the heavier tails often encountered in financial returns. Since the structure of the normal inverse Gaussian (NIG) distribution makes it an attractive alternative innovation distribution for this purpose, we extend the normal GARCH model by assuming that the innovations are NIG-distributed. We use the normal variance mixture interpretation of the NIG distribution to show that a
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Mandal, Anandadeep. "An empirical investigation of the determinants of asset return comovements." Thesis, Cranfield University, 2015. http://dspace.lib.cranfield.ac.uk/handle/1826/10184.

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Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns. Research widely acknowledges that return distributions of financial assets are no
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Books on the topic "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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Aït-Sahalia, Yacine. Ultra high frequency volatility estimation with dependent microstructure noise. National Bureau of Economic Research, 2005.

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Aït-Sahalia, Yacine. Ultra high frequency volatility estimation with dependent microstructure noise. National Bureau of Economic Research, 2005.

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Andersen, Torben G. DM-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. National Bureau of Economic Research, 1996.

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Wright, Jonathan H. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. Federal Reserve Board, 2000.

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Wuthe, Norbert. Exchange rate volatility's dependence on different degrees of competition under different learning rules: A market microstructure approach. European University Institute, 2000.

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Wuthe, Norbert. Exchange rate volatility's dependence on different degrees of competition under different learning rules: A market microstructure approach. European University Institute, 2000.

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Book chapters on the topic "Volatility dependence"

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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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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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Liu, Jianxu, Songsak Sriboonchitta, Panisara Phochanachan, and Jiechen Tang. "Volatility and Dependence for Systemic Risk Measurement of the International Financial System." In Lecture Notes in Computer Science. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-25135-6_37.

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Agbeyegbe, Terence D. "Modeling US Stock Market Volatility-Return Dependence Using Conditional Copula and Quantile Regression." In The Economics of the Global Environment. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-31943-8_26.

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Puarattanaarunkorn, Ornanong, Teera Kiatmanaroch, and Songsak Sriboonchitta. "Dependence Between Volatility of Stock Price Index Returns and Volatility of Exchange Rate Returns Under QE Programs: Case Studies of Thailand and Singapore." In Causal Inference in Econometrics. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-27284-9_27.

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Conference papers on the topic "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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Barkatt, Aaron, Lawrence C. Bank, T. Russell'Gentry, et al. "Environmental Degradation of Fiber Reinforced Plastic Materials in Neutral, Acidic, and Basic Aqueous Solutions." In CORROSION 1995. NACE International, 1995. https://doi.org/10.5006/c1995-95138.

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Abstract Kinetic measurements on the dissolution of oxide components of fiber-reinforced plastics show that the dissolution in aqueous media is a complex phenomenon and that changes in the nature of the controlling mechanism during the time of exposure can lead to an increase in rate. As a result, thorough understanding of the mechanisms is imperative in developing models for prediction of the long-term degradation of these composites. Thermogravimetric analysis has been found to be a promising indicator of the structural changes associated with the degradation process. Results obtained on spe
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Yusuf, Noor, Ahmed AlNouss, Roberto Baldacci, and Tareq Al-Ansari. "Assessing Operational Resilience Within the Natural Gas Monetisation Network for Enhanced Production Risk Management: Qatar as a Case Study." In The 35th European Symposium on Computer Aided Process Engineering. PSE Press, 2025. https://doi.org/10.69997/sct.130449.

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The turbulence in energy markets poses risks to energy suppliers, impacting profitability. Whilst risk mitigation is crucial for new projects, adapting existing infrastructure to evolving conditions incurs additional costs. For natural gas dependent economies, the natural gas industry faces exogenous uncertainties represented by demand and price fluctuations, and endogenous risks arising from inadequate proactive planning. This study evaluates the resilience of optimised Qatar�s natural gas monetisation infrastructure under different cases by examining the network�s ability to meet production
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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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Yaşar, Aysu, and Kenan Terzioğlu. "Long Memory in Exchange Rate Volatility." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02560.

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Considering rapidly evolving technology and effective markets, wherein information and news are quickly and effectively reflected in financial asset prices, the positions of investors trading in financial markets regarding financial asset prices vary according to the continuous stream of information coming to the market. However, markets are not fully efficient in terms of maintaining a long memory that enables future pricing estimates based on the past market price of the financial asset. Revealing the existence of a long memory structure is essential to the development of monetary policies s
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Cheong, Chin Wen, and Tan Pei Pei. "Rolling estimations of long range dependence volatility for high frequency S&P500 index." In THE 22ND NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM22): Strengthening Research and Collaboration of Mathematical Sciences in Malaysia. AIP Publishing LLC, 2015. http://dx.doi.org/10.1063/1.4932467.

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Zolotarev, Oleg, Aida Hakimova, Maria Berberova, and Vera Zolotareva. "Analysis of the dependence of the ruble exchange rate volatility on the oil market in a pandemic." In International Conference "Computing for Physics and Technology - CPT2020". Bryansk State Technical University, 2020. http://dx.doi.org/10.30987/conferencearticle_5fce2772f12764.07821914.

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The article attempts to analyze the degree of impact of changes in the ruble exchange rate on the oil market in the conditions of economic instability caused by the coronavirus pandemic. The statistical data for the calculation cover the time from January to May 2020. The importance of the further development of theoretical and methodological approaches to the study of the dependence of the country's economy on external shocks is substantiated. The approach described in the article is considered by the authors based on the analysis of non-stationary time series. The transformation of the post-
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Rosania, Sam M. "Waste-to-Energy Facilities: A National Strategic Asset." In 10th Annual North American Waste-to-Energy Conference. ASMEDC, 2002. http://dx.doi.org/10.1115/nawtec10-1006.

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The importance of the topics illustrated to the audience and industry in this presentation will become self evident as to the industry’s future. In light of the events of September 11, 2001; the volatility of the middle eastern oil interests; and initiatives regarding national security and homeland defense, it would appear that any energy technology that can reduce America’s dependence on foreign oil should be considered a national strategic asset. As such, one could assert that today’s municipal waste combustors that provide electrical capacity and/or steam capacity (i.e. waste-to-energy faci
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Agarwal, Gaurav, Gang Liu, and Brian Lattimer. "Temperature Dependent Solid Fuel Combustion Characterization and Fuel Ranking." In ASME 2013 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/imece2013-65615.

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Fuel combustion performance was quantified through measurement of the gravimetric response of the fuel as well as the energetic behavior. A Simultaneous Thermogravimetric Analyzer (STA) was used to measure the gravimetric, sensible energy, and latent heat energy (including heat of pyrolysis) for fuels. The heat release rate and heat of combustion of the fuels as a function of temperature released due to the combustion of the pyrolysis gases was measured using a Micro-Combustion Calorimeter (MCC). Fuels were tested at a heating rate of 20°C/min from room temperature to 800°C in inert (nitrogen)
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Michalczyk, Wawrzyniec. "The Dependence Between the Return Rate Volatility and the Trading Volume of the Most Important Cryptocurrencies – a Correlation Analysis." In International Days of Statistics and Economics 2019. Libuše Macáková, MELANDRIUM, 2019. http://dx.doi.org/10.18267/pr.2019.los.186.108.

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Reports on the topic "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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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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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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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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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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6

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.

Full text
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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7

Ait-Sahalia, Yacine, Per Mykland, and Lan Zhang. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11380.

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8

Andersen, Torben, and Tim Bollerslev. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. National Bureau of Economic Research, 1996. http://dx.doi.org/10.3386/w5783.

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Heresi, Rodrigo. From Macroeconomic Stability to Welfare: Optimizing Fiscal Rules in Commodity-Dependent Economies. Inter-American Development Bank, 2023. http://dx.doi.org/10.18235/0005197.

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I study the welfare and macroeconomic implications of simple and implementable fiscal policy rules in commodity-dependent economies, where a large share of output, exports, and government revenues depend on exogenous and volatile commodity prices. Using a multisector New Keynesian model estimated for the Chilean economy, we find that the welfare-maximizing fiscal policy involves an actively countercyclical response to the tax revenue cycle and a mildly procyclical response to the commodity revenue cycle. Compared to a benchmark acyclical policy, the optimized rule minimizes GDP growth volatili
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10

Karanfil, Fatih, and Luc Desire Omgba. The Energy Transition and Export Diversification in Oil-Dependent Countries: The Role of Structural Factors. King Abdullah Petroleum Studies and Research Center, 2023. http://dx.doi.org/10.30573/ks--2022-dp21.

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The energy transition toward decarbonization is expected to impact producers of fossil fuels. However, oil-exporting countries are currently key players in the modern economy. Thus, the energy transition will not be successful if state revenues in these countries are not stably maintained. These countries can protect themselves against revenue volatility and mitigate carbon risk by diversifying their economies. However, export diversification appears to be particularly challenging for many oil-producing countries.
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