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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Now showing 1 - 2 of 2
  • PublicationOpen 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; Ekonomia
    Usually, 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.
  • PublicationOpen Access
    Time-varying relation between oil shocks and european stock market returns
    (MDPI, 2023) Castro Rozo, César Augusto; Jiménez Rodríguez, Rebeca; Kizys, Renatas; Economía; Ekonomia
    This 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.