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

Abstract

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

Crude oil and stock markets: Stability, instability, and bubbles

“…Kilian (2008b) reports that while exogenous oil supply shocks, identified as oil production disruptions, have a significant effect on the economy, their impact on the U.S. economy since the 1970s has been small compared to the impact of other factors. Along similar lines, Cologni and Manera (2009) report that the role of oil shocks in explaining recessions has decreased over time in G7 countries. This change in the relationship between oil prices and real activity in recent years from earlier decades is attributed to several causes including improvements in energy efficiency and in the conduct of monetary and fiscal authorities.…”

Is There a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

“…one in which the oil price bubble is a stable process and one in which the bubble explodes. Cologni and Manera [2009] show asymmetric effects of oil price shocks on output growth by applying different Markov-switching autoregressive models for the G-7 countries. Reboredo [2010] applies Markov-switching models to show that oil price shocks have nonlinear effects on stock returns.…”

Inflationary effects of oil prices and domestic gasoline prices: Markov-switching-VAR analysis

“…Ever since the study by Hamilton (1989), Markov regimeswitching models have been utilized by researchers for modeling many macroeconomic time series, which exhibit asymmetries and nonlinear behavior (Hansen 1992;Goodwin 1993;Gray 1996;Cologni and Manera 2009). Therefore, the use of the MS approach has become popular for determining asymmetries.…”