 Oil market uncertainty and international business cycle dynamicsLibo Yin () and Jiabao Feng Energy Economics, 2019, vol. 81, issue C, 728-740 Abstract: This paper sets out to identify the dynamic relationship between oil market uncertainty and international business cycle. Firstly, we implement the Granger causality linear tests and document significant linear causal relation. Then we perform the nonlinear tests, which, on the contrary, do not exhibit significant evidence of nonlinear relation between oil market uncertainty and the business cycle indicators. Further we perform the dynamic panel analysis utilizing the Arellano-Bond GMM procedure and find that oil volatility risk premium (VRP) has a significant leading effect on the output growth even controlling for country specific characters and other classic pricing factors of stock markets. Further, the impulse responses indicate that the shock of innovation in oil market uncertainty can boost the output growth within half a year and this effect will be absorbed gradually over time. Overall, oil market uncertainty does have a linear leading effect on the international business cycle. Keywords: Oil volatility; Volatility risk premium (VRP); Business cycle; Linear and nonlinear causality tests; Heterogeneous panel causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:81:y:2019:i:c:p:728-740 DOI: 10.1016/j.eneco.2019.05.013 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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