The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US

Kocaarslan, Barış; Soytas, Mehmet A.; Soytaş, Uğur

doi:10.1016/j.eneco.2019.104625

Cited by 72 publications

(42 citation statements)

References 62 publications

(79 reference statements)

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“…However, in the short run, asymmetric effects oil prices changes existed for all categories of employment. Kocaarslan et al [34] investigated asymmetric impact of oil prices, interest rate and oil price uncertainty on unemployment in the USA. Their findings reveal that asymmetry existed between changes in oil prices and unemployment.…”

Section: Literature Reviewmentioning

confidence: 99%

“…However, Nigeria, which has been a member of OPEC since 1971 and ranked 13th in the comity of oil-producing countries globally, is not included in their studies. (For recent studies, see [6,14,[32][33][34]40].) Even though we follow some of these studies to examine the symmetric and asymmetric effects of changes in oil prices on unemployment in Nigeria, we, however, add some robustness to our study by accounting for structural break in our analysis which none of the studies mentioned above accounted for.…”

Section: Introductionmentioning

confidence: 99%

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Investigating the relationship between changes in oil prices and unemployment rate in Nigeria: linear and nonlinear autoregressive distributed lag approaches

2020

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The increasing unemployment in Nigeria has motivated several empirical studies on the causes of the problem in the country. However, attention has not been paid to the contribution of the changes in oil prices to the unemployment problem. As a net exporting oil country, a fluctuation in oil prices in the international market can have impact on economic growth and employment. In the light of this, we investigate the effect of changes in oil prices on unemployment rate in Nigeria, using real oil prices of Brent and West Texas International with linear and nonlinear autoregressive distributed lag (NARDL) estimation methods. Findings from linear ARDL show that changes in oil prices have little or no significant effects on unemployment rate. The NARDL results indicate that an increase and a decrease in oil prices have an insignificant positive effect on unemployment in the short run. However, in the long run, an increase in oil prices worsens unemployment situation, while a decrease has insignificant reducing effect. We also find evidence of a long-run asymmetric relationship between oil prices and unemployment. The need for government to invest oil revenues in generating more electricity or in providing alternative sources of energy with the objective to reduce the costs of production of firms is recommended.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Investigating the relationship between changes in oil prices and unemployment rate in Nigeria: linear and nonlinear autoregressive distributed lag approaches

2020

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“…This model is an extension of the linear ARDL model (Pesaran & Shin, 1998;Pesaran et al, 2001). The performance of the ARDL models is very strong for small sample size and does not require all variables to have the same integration order (Kocaarslan et al, 2020;Pesaran & Shin, 1998;Pesaran et al, 2001;Shin et al, 2014). Unlike other test like VECM, the integration orders of the variables could be a mixture of I 0 ð ÞandI 1 ð Þ.…”

Section: Non-linear Ardlmentioning

confidence: 99%

Structural break and consumer prices: the case of Malaysia

Ruslan

Mokhtar

2020

Cogent Business & Management

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This paper studies the dynamic behaviour of both linear and non-linearity of consumer prices in Peninsular Malaysia and Sabah from 2004 to 2015. For linear tests, monthly prices data of consumer price index (CPI) for nine groups of goods and services were analysed using the unit root tests and cointegration tests with structural breaks; while for non-linear test, NARDL test is incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the breakpoints occurred in 2008, followed by 2012 and 2013, (ii) the variables did not cointegrate in the Johansen cointegration test which indicates that no stable long-run relationship was reflected in the CPI for all groups, except for "transport", and (iii) the Gregory and Hansen test demonstrated some form of cointegration with a structural break(s) existed, with a most recorded break in 2008 (iv) the NARDL test shows a fair impact of asymmetrical interaction for all groups except for Housing, Water, Electricity, Gas, and Other Fuels; Health and Recreation Services and Culture. Overall, this study intends to match the structural break points and the groups affected with the corresponding critical economic incidents.

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“…There is a limited number of studies that have examined the impact of oil prices, oil price uncertainty and oil price volatility on labour market outcomes (Loungani 1986 ; Papapetrou 2001 ; Kocaarslan 2019 ; Koirala and Ma 2020 ; Kocaarslan et al 2020 ). Loungani ( 1986 ) shows that there is no aggregate effect of energy price changes on employment.…”

Section: Introductionmentioning

confidence: 99%

Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis

Palaios

Papapetrou

2022

Economic Structures

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This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz Diebold and Yilmaz, Int J Forecast 28:57–66, 2012; Ando et al. Ando T, Greenwood-Nimmo N, Shin Y (2018) ‘Quantile connectedness: Modelling tail behavior in the topology of financial networks’, Working Paper. https://ssrn.com/abstract=3164772.). There is empirical evidence that the oil price variable is the most influential node of the energy variables on hirings and firings, suggesting the endogeneity of the labour market variables. Rolling estimation analysis based on the quantile VAR to capture the volatility spillovers across the whole conditional distribution shows a large variation of the total connectedness index, which is responsive to exogenous adverse and beneficial shocks. Further, our results point to a strong effect due to the COVID-19 pandemic and the state intervention to sustain the pandemic on the labour market. Overall, the analysis reveals a substantial higher time-varying connectedness of the system at the tails of the distribution, indicating that changes in energy markets asymmetrically affect the Greek labour market in recessionary and flourishing states of the economy, rather than normal times.

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The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US

Cited by 72 publications

References 62 publications

Investigating the relationship between changes in oil prices and unemployment rate in Nigeria: linear and nonlinear autoregressive distributed lag approaches

Investigating the relationship between changes in oil prices and unemployment rate in Nigeria: linear and nonlinear autoregressive distributed lag approaches

Structural break and consumer prices: the case of Malaysia

Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis

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