Reviewing the oil price–GDP growth relationship: A replication study

Lanouar Charfeddine, Tony Klein and Thomas Walther

Energy Economics, 2020, vol. 88, issue C

Abstract: This paper presents a thorough replication of Hamilton (2003) which in turn replicates and extends the findings of four seminal papers regarding the oil price–GDP growth relationship. Firstly, we replicate the empirical results obtained with the oil price measures of Hamilton (1983), Mork (1989), Lee et al. (1995), Hamilton (1996), and Hamilton (2003) by using an identical data set of real and nominal oil prices. Secondly, we extend the data sets to 2019Q4 and apply the same methodology. We find that for more recent data the explanatory power of the proposed oil price measures on GDP growth rates is still present, albeit on a slightly weaker magnitude. Extending the ARX(4), we only find little evidence that oil price decreases impact GDP growth rates on the full data set. Parameter stability tests suggest that the impact of oil price decreases might be limited to certain periods.

Keywords: Oil prices; GDP growth; Asymmetry; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C24 E32 F43 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: Reviewing the Oil Price - GDP Growth Relationship: A Replication Study (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301262

DOI: 10.1016/j.eneco.2020.104786

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