Crude signals: Asymmetric adjustments in energy markets to global oil price shocks
The paper empirically investigates the asymmetries pass-through rate of international oil prices to energy markets in eight key developed economies. To examine this, we apply an asymmetric ARDL model to split the effects of positive and negative partial sum decomposition in WTI oil price on energy markets in the short- and long-run. Moreover, we use cumulative dynamic multipliers to contribute to the understanding of the time path and adjustment process of energy stock responses to oil price shocks. Our results show that Germany, Italy, and the US exhibit asymmetry, with oil price variations affect differently to energy markets in these countries. Alternatively, energy markets in Australia, Canada, France, Japan, and the UK exhibit long-run symmetry, indicating that whether oil prices rise or fall, the pass-through to energy prices follows a proportional pattern in the long run. However, dynamic multiplier captures short-term asymmetries in several cases (Australia, Canada, France and Japan and the UK) and highlights different speeds of convergence with some markets adjusting rapidly while others requiring longer periods to get back to the equilibrium position. In particular, our results indicate that oil price increases have a larger pass-through effect than decreases on a few energy markets, while for others, the effect remains symmetric.
Authors
- Xuan Vinh Vo (ORCID: https://orcid.org/0000-0002-3868-8176)
- Mobeen Ur Rehman (ORCID: https://orcid.org/0000-0002-8889-9051)
- Muhammad Kashif (ORCID: https://orcid.org/0000-0002-4739-9894)
- Neeraj Nautiyal (ORCID: https://orcid.org/0000-0002-6279-282X)
- Noha Alessa (ORCID: https://orcid.org/0000-0003-4280-5002)
Institutions
- Princess Nourah bint Abdulrahman University (SA)
- University of Economics Ho Chi Minh City (VN)
- Institute of Business Management (PK)
- Sohar University (OM)
- Keele University (GB)
Publication Details
- Journal
- Journal of Environmental Management
- Published
- 2025-07-16
- DOI
- https://doi.org/10.1016/j.jenvman.2025.126567
- Citations
- 1
- Primary Topic
- Market Dynamics and Volatility
- Type
- article
- Field-Weighted Citation Impact
- 3.13
Funders
- Đại học Kinh tế Thành phố Hồ Chí Minh
- Princess Nourah Bint Abdulrahman University