Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis

Nasir, Muhammad; Al-Emadi, Ahmed Abdulsalam; Shahbaz, Muhammad; Hammoudeh, Shawkat

doi:10.1016/j.resourpol.2019.01.019

Cited by 109 publications

(42 citation statements)

References 72 publications

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“…To estimate this relationship, it will adopt the K variable panel structural VAR. Following the method explained by Lütkepohl, (2005), and Nasir, et al (2019), the panel SVAR specification starts with the VAR Model for the panel data, as follows:…”

Section: Methodsmentioning

confidence: 99%

Analysis of The Relationship among Macroeconomics, Monetary and Income Inequality

Taresh

Sari

Purwono

2020

EDAJ

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Income inequality in Indonesia remains a controversial issue in the context of Indonesian macroeconomic condition that is evolving in output and government spending, and its increase in consumption accompanied by inflation and slowing of bank credit. The purpose of this study is to investigate the relationship among macroeconomics, monetary and income inequality through a broad theoretical model by adopting a panel Structural Vector Auto-regression (SVAR) model to get more sample size during the period 2005-2018 at 33 provinces in Indonesia. The main results indicate that the variables of output and inflation have positive relationships. The relationship between output and income inequality is also significantly correlated, and those results supported by Kuznets's theory reveal that the relationship between economic growth and income inequality is positive in the short term. The relationship between inflation and income inequality is positive as well in Indonesia. This result is by the fact that low-income families are considered more vulnerable to inflation. The impact of non-food consumption shocks increases income inequality, while Indonesian government spending and bank credit shocks reduce income inequality. Then the response of savings and bank credit to the shock of income inequality is positive.

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Section: Methodsmentioning

confidence: 99%

Analysis of The Relationship among Macroeconomics, Monetary and Income Inequality

Taresh

Sari

Purwono

2020

EDAJ

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“…Using a structural VAR model for the period 1980-2016, Nasir et al (2019) conclude the presence of significant heterogeneity in the reaction of GDP to oil shocks in GCC countries in terms of intensity, persistence, and duration. The authors confirm the existence of significant effects of oil shocks on GDP, inflation, and the trade balance.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Most empirical studies have debated the issue mentioned above in net oilimporting countries, specifically United States, Japan and the European Union (among others Hamilton, 2003;Zhang, 2008;Hanabusa, 2009;Das et al, 2018;Dagoumas et al, 2020). However, a review of the existing literature shows that there have been relatively limited studies analyzing the oil price-economic performance relationship in oil-exporting countries (Iwayemi & Fowowe, 2011;Nusair, 2016;Nasir et al, 2019;Charfeddine & Barkat, 2020), which represents a critical gap in the existing literature.…”

Section: Introductionmentioning

confidence: 99%

“…In contrast, only a few works analyzed the impact of oil price on economic growth in GCC oil-exporting countries. Except for studies by Nusair (2016) and Nasir et al (2019), GCC countries are often considered either individually (Alkhathlan, 2013 for Saudi Arabia, Charfeddine & Barkat, 2020 for Qatar) or included in a sample of countries (Mehrara (2008) for a sample of 13 oil-exporting countries including Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, Moshiri and Banijashem (2012) for six OPEC countries including Kuwait and Saudi Arabia, Moshiri (2015) for a sample of developed and developing countries, including Kuwait and Saudi Arabia).…”

Section: Introductionmentioning

confidence: 99%

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Oil price and the economic activity in GCC countries: evidence from quantile regression

Zmami

Ben-Salha

2020

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Research background: The effects of oil price fluctuations on the macroeconomic performance in oil-importing and oil-exporting countries have stimulated considerable research activity. However, the debate is far from being closed. Purpose of the article: This paper revisits the impact of crude oil price on economic activity in the Gulf Cooperation Council oil-exporting countries. The study covers a relatively long period spanning from 1960 to 2018. Methods: The empirical investigation accounts for structural breaks, nonlinearity, and non-normal ?distribution of data. The Kapetanios (2005) structural breaks unit root test?? and ?Saikkonen?Lütkepohl (2000a, b, c) cointegration test with structural shifts are implemented to examine the stationary properties of data and the presence of cointegration between variables, respectively. Moreover, the quantile regression is employed to assess whether the impact of oil price on real GDP differs across different states of the economy. Findings & Value added: Empirical results suggest the absence of long-run cointegrating relationships between oil price and GDP in all countries. The quantile regression reveals that oil price does not affect real GDP in the same way across countries and for different business cycle phases. More specifically, the symmetric quantile regression findings reveal that oil price exerts a positive impact on GDP in all countries and that the effect is higher during the recession than expansion states. The asymmetric quantile regression shows that GDP reacts to positive oil price changes in all countries. However, only the Emirati and Omani GDPs are affected by negative oil price changes.

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“…In their study to determine the causality relationship between oil prices volatility and economic growth for the period 1970–2002 in Ghana, Awunyo-Vitor et al (2018) found that the impact of the change in oil prices on economic growth in the long-run is statistically insignificant and there is a one-way causality relationship from the change in oil prices to economic growth. In another study of the Gulf Arab Countries Cooperation Council (GCC) countries (Bahrain, Qatar, Kuwait, Oman, Saudi Arabia, and the United Arab Emirates) with the data of 1980–2016, Nasir et al (2019) observed that oil price shocks have a statistically significant and positive effect on economic growth, although the degree of influence varies from country to country. Similarly, Erdogan et al (2020b) conducted a new study for GCC countries with monthly data for the period 2007–2018 and the SVAR model and found out that volatility in oil prices negatively affects economic growth in most GCC countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Is the relationship between oil-gas prices index and economic growth in Turkey permanent?

2020

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Oil and gas are the most important inputs that countries use in their production process. For this reason, changes in oil-gas prices affect economic growth, which is the most important macroeconomic performance indicator. This study aims to investigate whether the relations between the oil-gas prices index and economic growth are permanent in Turkey, covering the period 1998Q1-2019Q4. For this purpose, the relationships between variables are first examined by Granger and Toda-Yamamoto causality tests with structural breaks. Then, we analyze whether the relationships between them are permanent using frequency domain causality tests based on these two tests. There is insignificant causality relationship between the variables according to Granger and the Frequency Domain Causality Test results based on this test. However, according to the results of the Toda-Yamamoto causality test with a structural break, there is a causality relationship from oil-gas prices to economic growth. According to the results of the Frequency Domain Causality Test based on this test, the permanent effect of oil-gas prices on economic growth is approximately five years.

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Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis

Cited by 109 publications

References 72 publications

Analysis of The Relationship among Macroeconomics, Monetary and Income Inequality

Analysis of The Relationship among Macroeconomics, Monetary and Income Inequality

Oil price and the economic activity in GCC countries: evidence from quantile regression

Is the relationship between oil-gas prices index and economic growth in Turkey permanent?

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