Do oil price shocks matter? Evidence for some European countries

Cuñado, Juncal; Gracia, Fernando Pérez de

doi:10.1016/s0140-9883(02)00099-3

“…8 We find an impact on consumer prices which is relatively strong for all energy-importing countries except for Japan, whereas inflationary pressures are negligible or even negative in net energy-exporting countries (see also Figure A1 in the appendix). These different 7 The estimated impulse responses of oil production and oil prices following the structural shocks are shown in Figure 2 in section 3.1 of the paper, when we discuss the changes in the dynamics of the oil market over time. 8 This finding is rather surprising given that PVR (2009) show that asymmetries in labor market characteristics are crucial to explain differences of the impact of oil supply shocks on consumer prices in individual Euro area countries.…”

Section: A Structural Var Modelmentioning

confidence: 99%

Cross-country differences in the effects of oil shocks

Peersman

¹

,

Robays

²

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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“…Rodriguez and Sanchez (2009) applied both linear and nonlinear methodologies to the US, Germany, France, Italy, and the UK and found significant evidence of nonlinear effects of oil price shocks on real output and inflation. Cunado and Gracia (2003) investigated oil price shocks-macro economy relationship for many European countries for the period 1960-1999. They concluded that price shocks had permanent effects on inflation but only positive oil price shocks had negative short run influence on the industrial production.…”

Section: Literature Revi̇ewmentioning

confidence: 99%

Oil Price Shocks-Macro Economy Relationship in Turkey

Öztürk

¹

2015

Asian Economic and Financial Review

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“…12 The CPI index is used in order to deflate the oil price according to Ferderer (1996) and Cunado and de Gracia (2003) inter alia .…”

Section: Otherwisementioning

confidence: 99%

The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries

Cologni

¹

,

Manera

²

2009

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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. Oil shocks are generally acknowledged to have important effects on both economic activity and macroeconomic policy. The aim of this paper is to investigate how oil price shocks affect the growth rate of output of a subset of developed countries by comparing alternative regime switching models. Different Markov-Switching (MS) regime autoregressive models are, therefore, specified and estimated. In a successive step, univariate MS models are extended in order to verify if the inclusion of asymmetric oil shocks as an exogenous variable improves Terms of use: Documents in

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Do oil price shocks matter? Evidence for some European countries

Cited by 366 publications

References 26 publications

Cross-country differences in the effects of oil shocks

Cross-country differences in the effects of oil shocks

Oil Price Shocks-Macro Economy Relationship in Turkey

The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries

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