International Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?

Simple item page
dc.contributor.authorAshley, Richard A.en
dc.contributor.authorTsang, Kwok Pingen
dc.contributor.departmentEconomicsen
dc.date.accessioned2019-07-17T15:14:59Zen
dc.date.available2019-07-17T15:14:59Zen
dc.date.issued2013-08-28en
dc.description.abstractThe literature on the relationship between real output growth and the growth rate in the price of oil, including an allowance for asymmetry in the impact of oil prices on output, continues to evolve. Here we show that a new technique, which allows us to control for both this asymmetry and also for the persistence of oil price changes, yields results implying that such control is necessary for a statistically adequate specification of the relationship. The new technique also yields an estimated model for the relationship which is more economically interpretable. In particular, using quarterly data from 1976 – 2007 on each of six countries which are essentially net oil importers, we find that changes in the growth rate of oil prices which persist for more than four years have a large and statistically significant impact on future output growth, whereas less persistent changes (lasting more than one year but less than four years) have no significant impact on output growth. In contrast, ‘temporary’ fluctuations in the oil price growth rate – persisting for only a year or less – again have a large and statistically significant impact on output growth for most of these countries. The results for the single major net oil producer in our sample (Norway) are distinct in an interesting way.en
dc.format.extent32 pagesen
dc.format.mimetypeapplication/pdfen
dc.identifier.sourceurlhttp://www.ashleymac.econ.vt.edu/working_papers/ashley_tsang_oil_price.pdfen
dc.identifier.urihttp://hdl.handle.net/10919/91472en
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.ispartofseriesJEL codes: Q43, C22, E23en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectoil priceen
dc.subjectfrequency dependenceen
dc.subjectbusiness cycleen
dc.subjectnonlinearitiesen
dc.titleInternational Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?en
dc.typeWorking paperen
dc.type.dcmitypeTexten

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ashley_tsang_oil_price.pdf
Size:
574.25 KB
Format:
Adobe Portable Document Format
Description:
Download

Collections

Scholarly Works, Economics