Macroeconomic effects of oil price shocks on an emerging market economy

Rodrigo da Silva Souza () and Leonardo Bornacki Mattos ()
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Rodrigo da Silva Souza: Federal University of Latin American Integration
Leonardo Bornacki Mattos: Federal University of Viçosa

Economic Change and Restructuring, 2023, vol. 56, issue 2, No 5, 803-824

Abstract: Abstract This paper examines the macroeconomic effects of oil demand and supply shocks on an emerging market economy using a Bayesian vector autoregressive model combining zero and sign restrictions. The empirical analysis relies on a rich set of macroeconomic indicators mirroring the economic performance in Brazil. The effects on the Brazilian output of oil price changes driven by global demand shocks are much larger and more persistent than those driven by oil production. Oil price changes that are not related to changes in oil supply or global economic activity have a small impact on the Brazilian variables. The main policy implication of this study is that emerging market economies should identify correctly the source of oil price fluctuation for implementing the best economic policy.

Keywords: Global demand shocks; Oil supply shocks; Emerging market; Brazil; BVAR; Zero and sign restrictions (search for similar items in EconPapers)
JEL-codes: C51 E32 F43 F62 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10644-022-09445-w

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