How do daily changes in oil prices affect US monthly industrial output?
Abbas Valadkhani () and
Russell Smyth ()
Energy Economics, 2017, vol. 67, issue C, 83-90
Detecting asymmetry has become increasingly difficult using single frequency data. This paper goes beyond the prevailing use of aggregate/averaged data in order to provide a more in-depth treatment of the dynamic effects of the price of crude oil on industrial output growth. To do so, we propose an Asymmetric Mixed Data Sampling (AMIDAS) model to examine if there is any concealed evidence of asymmetry arising from daily effects of the price of crude oil on monthly changes in industrial output in the United States (US). We find that this model is able to detect dynamic asymmetric impacts of a high frequency independent variable on a low frequency dependent variable more effectively than when the high frequency variable is aggregated up at the time interval of the low frequency variable. We find that, in comparison with the marginal lagged effects of a rise in the daily price of crude oil, the effects of a fall in the daily price of crude oil are more sluggish as it takes longer for the effects of the oil price drop to die off over time. This finding implies that a fall in the price of crude oil shifts the supply curve rightward less and at a much slower pace than an equivalent price rise shifts it to the left.
Keywords: Crude oil price; Output growth; Asymmetric effects; Industrial production (search for similar items in EconPapers)
JEL-codes: E23 E37 F43 O40 Q41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90
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