Macroeconomic impacts of oil price shocks in Asian economies

Juncal Cuñado (), Soojin Jo and Fernando Pérez de Gracia ()

Energy Policy, 2015, vol. 86, issue C, 867-879

Abstract: This paper analyzes the macroeconomic impact of structural oil shocks in four of the top oil-consuming Asian economies, using a VAR model. We identify three different structural oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. The main results suggest that economic activity and prices respond very differently to oil price shocks depending on their types. In particular, an oil supply shock has a limited impact, while a demand shock driven by global economic activity has a significant positive effect in all four Asian countries examined. Our finding also includes that policy tools such as interest rates and exchange rates help mitigating the effects of supply shocks in Japan and Korea; however, they can be more actively used in response to demands shocks.

Keywords: Structural oil shocks; Macroeconomy; Sign restrictions; Asian economies; SVAR models. (search for similar items in EconPapers)
JEL-codes: E32 O53 Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (86)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:86:y:2015:i:c:p:867-879

DOI: 10.1016/j.enpol.2015.05.004

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