Risk Spillover and Macroeconomic Interactions Across Energy, Stock and Agricultural Markets

Energy related topics are very common in the literature of economics since the oil crisis in 1973. So, energy economics became one of the hottest topics in the world‘s agenda. On the other hand, energy markets are also known as commodity markets and these are complex, dynamic and increasingly global markets all around the world. As we know from the literature, fluctuation of oil prices affects the economy as a whole and has a huge impact on the economy. Their impacts are changed from national to international levels. Therefore, because of this reason, this makes oil market very important and everybody tries to follow and understand the impacts of both current and future changes on the economy. In this study, we focus on the oil market and try to see the relationship between oil prices, stock exchange market and real effective exchange rate. On the other hand, using a time-varying parameter VAR we study the coherence, conditional volatility and impulse responses of the exchange rates and stock markets to oil price shocks over specific periods and policy regimes for GCC countries. On the other hand, another chapter of this study is used Time Varying Parameter Stochastic Volatility in Mean (TVP – SVM) model in order to measure the impact of uncertainty shocks on food prices in G-7 countries. The estimation results show important evidence of the time variation in the impact of food price uncertainty on food price. Finally, this study is also aimed to investigate the relationship between oil price movements and macroeconomic aggregates, such as GDP, CPI, and unemployment, for OECD countries. To do this, second generation econometric methods have been employed to panel data including panel unit root tests, panel cointegration tests, and panel long-run models. Keywords: Energy, GCC, G-7, OECD, oil prices, stock exchange market, real effective exchange rate, food prices, GDP, CPI, and unemployment