Effects of Structural Oil Shocks on Output, Exchange Rate, and Inflation in the BRICS Countries: A Structural Vector Autoregression Approach

Qiang Ji, Ming-Lei Liu and Ying Fan

Emerging Markets Finance and Trade, 2015, vol. 51, issue 6, 1129-1140

Abstract: In this study, we apply a structural vector autoregression (SVAR) model, combining the global crude oil market with each emerging economy, to investigate the effects of different types of oil shocks on industrial outputs, real exchange rates, and consumer price levels in each of the BRICS countries. The empirical results show that an oil supply shock has significant effects on Russia, while other countries are mainly influenced by an aggregate demand shock. Moreover, an oil-specific demand shock caused by expectation shifts or speculative activities is likely to induce a stagflation risk for China and India. However, these harmful effects are relatively delayed due to oil subsidies or price regulation measures.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2015.1080505 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:51:y:2015:i:6:p:1129-1140

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2015.1080505

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().