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Nonlinearities in the response of real GDP to oil price shocks

Mohamad Karaki

Economics Letters, 2017, vol. 161, issue C, 146-148

Abstract: This paper re-examines whether real GDP growth responds asymmetrically to real oil price increases and decreases using a sample that includes the recent oil price declines. I follow Kilian and Vigfusson (2011a) and conduct a test of symmetry. I find no evidence against the null of symmetry using the 3-year net oil price increase specification. Moreover, I find that the results are not stable for different nonlinear transformations of the real price of oil. Finally, evidence of asymmetry vanishes after computing specification robust critical values.

Keywords: Asymmetry; Business cycles; Oil prices; Net oil price (search for similar items in EconPapers)
JEL-codes: C22 C3 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.econlet.2017.09.034

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