Estimating the effects of global oil market shocks on Australian merchandise trade

M-Ali Sotoudeh and Andrew Worthington

Economic Analysis and Policy, 2016, vol. 50, issue C, 74-84

Abstract: In this paper, we examine the dynamic responses of Australian merchandise trade to global oil market structural shocks. The analysis employs monthly data over the period June 1986 to January 2013 and vector generalized autoregressive conditional heteroscedasticity (VGARCH), structural vector autoregression (SVAR), and parametric nonlinear models. We find that an increase in the oil price driven by shocks in global economic activity exerts a significant influence on Australian merchandise exports, and thereby merchandise trade as a whole, for periods of more than one year. However, the responses of merchandise imports to oil price shocks are more modest and persist for only a few months. Finally, uncertainty in future global oil prices, as measured by volatility in the 3-month-ahead price, strongly and negatively affects Australian international commodity markets.

Keywords: Oil price volatility; Merchandise trade; Structural shocks; Vector generalised autoregressive conditional heteroscedasticity (VGARCH); Structural vector autoregression (SVAR); Australia (search for similar items in EconPapers)
JEL-codes: F14 O56 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0313592615300746
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:50:y:2016:i:c:p:74-84

DOI: 10.1016/j.eap.2016.02.006

Access Statistics for this article

Economic Analysis and Policy is currently edited by Clevo Wilson

More articles in Economic Analysis and Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().