Person: Castro Rozo, César Augusto
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Castro Rozo
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César Augusto
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Economía
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INARBE. Institute for Advanced Research in Business and Economics
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0000-0002-1367-3808
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811700
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Publication Open Access A new look at oil price pass-through into inflation: evidence from disaggregated European data(Springer, 2017) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Poncela, Pilar; Senra, Eva; Economía; EkonomiaThis paper analyzes oil price pass-through into inflation at disaggregate level for the euro area and its four main economies (France, Germany, Italy and Spain). The pattern of responses to oil price changes is quantitatively diverse across economies and across items of disaggregate inflation. Moreover, we suggest an alternative method to the direct calculation of aggregate effects on inflation given that indirect and second-round effects may offset the positive effects found in energy inflation and dissipate the effect on total inflation.Publication Open Access Dynamic interactions between oil price and exchange rate(Public Library of Science, 2020) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Economía; EkonomiaThis paper contributes to better understand the dynamic interactions between effective exchange rate (EER) and oil price for an oil-importing country like the U.S. by considering a Time-Varying Parameter VAR model with the use of monthly data from 1974:01 to 2019:07. Our findings show a depreciation after an oil price shock in the short-run for any period of time, although the pattern of long-run responses of U.S. EER is diverse across time periods, with an appreciation being observed before the mid-2000s and after the mid-2010s, and a depreciation between both periods. This diversity of response should lead policy makers to react differently in order to counteract such shocks. Furthermore, the reaction of oil price to an appreciation of U.S. EER is negative and different over time, which may generate different adverse effects on investment. The knowledge of such effects may help financial investors to diversify their investments in order to optimize the risk-return profile of their portfolios.Publication Open Access The impact of oil shocks on the stock market(Elsevier, 2024) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Economía; Ekonomia; Institute for Advanced Research in Business and Economics - INARBEThis paper investigates the reaction of real stock returns and their volatility in the three main euro area economies (France, Germany and Italy), the U.K. and the U.S. to oil price changes caused by different shocks in the supply-side and demand-side of the global crude oil market, including the shock on the demand for oil inventories. Our findings suggest that the impact of oil supply and aggregate demand shocks on real stock returns and volatility are not altered when oil inventories are explicitly considered in the modeling of global crude oil market. However, the effects of oil-specific demand shocks on real stock returns are modified by the inclusion of oil inventories in the model, stressing the importance of the uncertainty channel in the link between the oil and stock markets. Finally, oil inventory shocks have a negative impact at medium time horizons on real stock returns, as the surge in the price of oil causes depletion of inventories.Publication Open Access La demanda de lotería y juegos de azar(Universidad Nacional de Colombia, 2000) González, Jorge Iván; Castro Rozo, César Augusto; Páez, Pedro Nel; Pecha, Arcenio; Rodríguez, Luis Ángel; Sáenz, Jorge; Sánchez, Germán; Economía; EkonomiaEl estudio sobre las loterías y los juegos de azar tiene implicaciones de muy diversa naturaleza. Toca aspectos básicos de la teoría de la elección bajo riesgo y, además, tiene implicaciones fiscales muy importantes. La forma de administrar el monopolio de las loterías y juegos de azar plantea retos muy interesantes en el campo de la gerencia y de la hacienda pública Después de presentar el monto de las ventas de las principales loterías, analizamos el significado de la demanda consuetudinaria. En la sección siguiente evaluamos los determinantes del precio óptimo Posteriormente describimos el perfil del comprador de loterías y juegos de azar, para finalizar el ensayo con unas reflexiones sobre el impacto fiscal de las loterías.Publication Open Access Time-varying relation between oil shocks and european stock market returns(MDPI, 2023) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Kizys, Renatas; Economía; EkonomiaThis paper considers a time-varying parameter vector autoregression model to analyze the varying impact of three types of structural oil shocks (the supply-side shock, the aggregate demand shock, and the oil-specific demand shock) on the European stock market since the 1990s. Our findings show that the three types of oil shocks heterogeneously influence stock market returns in the euro area, and that this influence considerably changes over time during the period considered. First, an unexpected increase in oil supply appears to exert a positive but generally declining effect in the period before the Global Financial Crisis (GFC) of 2007–2009, which descends into negative values after the GFC. Second, an unanticipated increase in aggregate demand triggers a generally positive effect on stock market returns in the euro area. However, in the period from 2003 to 2005, stock market returns responded negatively, which could be attributed to the so-called growth-retarding effect. Third, an unexpected increase in oil-specific demand instigates a negative response in the pre-GFC period (considering the response 4–5 months after the shock), although this changes to a positive effect thereafter. Interestingly, irrespective of the origin of oil price fluctuations, oil price increases are associated with positive European stock market returns after the GFC. This signals a greater degree of oil market financialization.Publication Open Access Oil price pass-through into inflation in Spain at national and regional level(Springer, 2020) Topan, Ligia; Castro Rozo, César Augusto; Jerez, Miguel; Barge Gil, Andrés; Economía; EkonomiaOil price showed sharp fluctuations in recent years which revived the interest in its effect on inflation. In this paper, we discuss the relationship between oil price and inflation in Spain, at national and regional levels, and making the distinction between energy and non-energy inflation. To this end, we fit econometric models to measure the effect of oil price shocks on inflation and to predict them under different scenarios. Our results show that almost half of the volatility of changes in total inflation is explained by changes in oil price. As could be expected, the energy component of inflation drives this effect. We also find that, under the most likely scenarios, 1-year ahead total inflation will be moderate, with relevant differences across regions.Publication Open Access Do we see the effects of oil variations in official statistics price data?(Sociedad Estadística e Investigación Operativa (SEIO), 2011) Castro Rozo, César Augusto; Poncela, Pilar; Senra, Eva; Economía; EkonomiaUsually, positive oil shocks are to be blamed for highly increasing general prices. In this paper we are going to measure how the variations in oil prices are related to inflation in a different way in Spain and in the Euro Area, increasing the inflation differential. We also look at the inflation differential for some of the special groups of products as defined by EUROSTAT. To measure an oil shock we will use statistics for the Brent oil price provided by the US Energy Information Administration (EIA) and for inflation we will use data publised by EUROSTAT for different disaggregation levels.