Oil price shocks and GDP growth: Do energy shares amplify causal effects?

Philip Bergmann

Energy Economics, 2019, vol. 80, issue C, 1010-1040

Abstract: The paper estimates the effect of oil price fluctuations on GDP growth, using linear and nonlinear VAR models with data from 12 countries. By using an IVAR approach, it reports strong significance for the existence of non-linear moderator effects caused by a decline in the oil-to-energy share, which weakens the causal effect of oil prices on economic growth. A consideration of the relationship of oil prices and GDP over 44 years confirms the exclusion of symmetry of previous studies. Moreover, the paper indicates that the effect of negative oil price movements is causal for more countries than has been suggested so far.

Keywords: IVAR; Oil price fluctuation; Asymmetry; Nonlinearity; Moderator effects; Oil share (search for similar items in EconPapers)
JEL-codes: C3 E32 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:80:y:2019:i:c:p:1010-1040

DOI: 10.1016/j.eneco.2019.01.031

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