Macroeconomic Impact of Oil Shocks: A Large-Scale Bayesian SVAR Approach in South Korea

Salima Arsalane () and Young Min Kim ()
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Salima Arsalane: Jeonbuk National University, Jeonju, Republic of Korea
Young Min Kim: Jeonbuk National University, Jeonju, Republic of Korea

Journal of Economic Integration, 2024, vol. 39, issue 4, 899-920

Abstract: This study employs a Large-Scale Bayesian Vector Autoregression (LS-BVAR) model to examine the impact of oil price shocks on South Korea's economy using monthly data spanning from January 2001 to September 2023. The analysis includes key macroeconomic variables such as industrial production, inflation, interest rates, money supply, exchange rates, imports, exports, and foreign direct investment (FDI) abroad. Our findings indicate that while oil supply shocks have limited effects on these variables, both oil aggregate demand shocks and oil-specific demand shocks significantly impact the Korean economy. The study's findings highlight the importance of leveraging global demand that could potentially boost the economic growth of the country.

Keywords: Oil Shocks; Korean Economy; Structural VAR; Bayesian Estimation; Shrinkage Prior (search for similar items in EconPapers)
JEL-codes: C11 E32 Q43 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0927

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