Testing for the Effects of Oil-Price Rises using Vector Autoregressions

Burbidge, John; Harrison, Alan

doi:10.2307/2526209

Cited by 576 publications

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“…However, imposing strict exogeneity between the oil market and country variables by estimating a so-called near-VAR does not affect the results reported in the paper, which indicates that cross-country comparisons can be made by simply normalizing the oil shocks to a 10 percent oil price increase. 6 Following Peersman (2005) experience a permanent fall in economic activity in the long-run. In contrast, output permanently increases in the countries that export both oil and other forms of energy,…”

Section: A Structural Var Modelmentioning

confidence: 99%

“…Barsky and Kilian 2004, Hamilton 2003or Rotemberg 2007. Accordingly, the current cross-country estimates represent the economic effects of an average oil price shock determined by a combination of supply as well as demand factors, which could seriously bias 1 For instance Darby (1982), Burbidge and Harrison (1984) 2 Kilian (2008a) is an exception. He compares the impact across countries by using a measure of exogenous oil supply shocks.…”

Section: Introductionmentioning

confidence: 99%

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Cross-country differences in the effects of oil shocks

2012

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Cross-Country Differences in the Effects of Oil Shocks AbstractWe compare the economic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in their economy. We find considerably different effects across countries, which crucially depend on the underlying source of the oil price shift. For oil demand shocks driven by global economic activity and oil-specific demand shocks, all countries experience respectively a temporary increase and transitory decline of real GDP following the oil price increase. The role of oil and other forms of energy seems not to matter to explain cross-country differences for the consequences of both shocks. This role, however, is very important to explain asymmetries in the effects of exogenous oil supply shocks. Whereas net oil and energy-importing countries all face a permanent fall in economic activity, the impact is insignificant or even positive in net energy-exporting countries. In addition, countries that improved their net energy-position the most over time, became less vulnerable to oil supply and oil-specific demand shocks, relative to other countries.JEL-Code: E31, E32, Q43.

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Section: A Structural Var Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Cross-country differences in the effects of oil shocks

2012

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“…Although the impacts of oil price on inflation are evident, there are debates on the magnitude impact of oil price shocks on economic (particularly inflation). This is because the impacts of oil price shocks on macroeconomic performance observed to be different across countries, [2] and over periods. Hooker [3] who focused the study on U.S. found that the relationship between oil prices and macroeconomic performance were strong in the post 1973 but the relationships were weakened thereafter and that oil price shocks failed to explain the dynamics of business cycles in the post 1979-80 period.…”

Section: Introductionmentioning

confidence: 99%

An investigation on the impacts of oil price shocks on domestic inflation: A SVAR approach

Sek

Lim

2016

AIP Conference Proceedings

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Abstract. Oil price can have influential effects on inflation as oil is used as the main source in many productions. In this paper, we perform comparative analyses on studying the impacts of oil price shocks on determining the domestic inflation in two groups of countries, i.e. oil importing versus oil exporting countries. In particular, we look into the effects of oil supply and oil demand shocks on determining the domestic inflation. A structural vector autoregressive model is used in analyzing the effects of orthogonalized shocks on inflation. A Blanchard-Quah identification is applied on the long-run impact matrix. We focus the analyses on ten oil importing and ten oil exporting countries respectively. The data ranging from 1973M1 onwards till 2015M1. Our results detect interaction effects among variables. We also observe that oil supply shock is more influential in explaining CPI inflation compared to oil demand shocks. Oil supply shock can be a determinant to inflation in oil importing countries but oil demand has very limited explanatory power on explaining inflation in most countries. Inflation in the main oil exporting countries does not respond to neither oil supply shock nor oil demand shock. The results reveal that oil dependency may determine the magnitude impact of oil supply and oil demand shocks on inflation.

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“…The stipulated explanations for the relationship between oil price movements and macroeconomic performance has emerged from the observed linkage between oil price realizations and economic recession. (Rasche & Tatom, 1977;Dagut, 1978;Darby, 1982;Lilien, 1982;Hamilton, 1983Hamilton, , 2009Burbidge & Harrison, 1984;Nasseh & Elyasiani, 1984;Gisser & Goodwin, 1986;Loungani, 1986). The literature, however, lacks studies that show the link between oil price change over a long period of time felt by net oil-exporting developing countries and their economic development.…”

Section: Savings Tend To Sustained Economic Growthmentioning

confidence: 99%

The Role of Savings in Reducing the Effect of Oil Price Volatility for Sustainable Economic Growth in Oil Based Economies: The Case of GCC Countries

Al‐Khouri¹,

Dhade²

2014

IJEF

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We investigate the simultaneous links between oil price changes, national savings, legal and institutional development, and economic growth in the Gulf Cooperation Council (GCC) countries. Our study includes six GCC countries namely, Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. We base our analysis on annual data that covers the period from 1980 to 2011. We implement different methodologies on time series cross sectional data: First, we test our model using fixed effect and random effect model techniques; Second, we employ Arellano-Bond/Blundell-Bond estimator to reduce the endogeneity problem that is common in this kind of studies. Results reveal a nonlinear and concave relationship between saving rates and economic growth. This result suggests that, at low level of economic growth, the increase in savings leads to high economic growth. However, as the countries' revenues and surpluses increase significantly (at higher levels in revenues and savings), high level of savings lead to lower growth in the economy. This might due to the lack of absorption capacity of the GCC markets. In addition, controlling for different factors, oil price changes explain the variability in the economic growth of the GCC countries. Economic globalization affects growth negatively, while institutional quality plays no role in economic growth of the GCC markets.

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Testing for the Effects of Oil-Price Rises using Vector Autoregressions

Cited by 576 publications

References 0 publications

Cross-country differences in the effects of oil shocks

Cross-country differences in the effects of oil shocks

An investigation on the impacts of oil price shocks on domestic inflation: A SVAR approach

The Role of Savings in Reducing the Effect of Oil Price Volatility for Sustainable Economic Growth in Oil Based Economies: The Case of GCC Countries

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