Economics at your fingertips  

Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7

Rasheed O. Alao (), Abdulkareem Alhassan, Saheed Alao (), Ifedolapo O. Olanipekun (), Godwin Olasehinde-Williams and Ojonugwa Usman
Additional contact information
Rasheed O. Alao: University of Abuja
Saheed Alao: Ladoke Akintola University of Technology (LAUTECH)
Ifedolapo O. Olanipekun: Adeyemi Federal University of Education

Letters in Spatial and Resource Sciences, 2023, vol. 16, issue 1, No 5, 14 pages

Abstract: Abstract Crude oil is an essential source of energy. Without access to energy, output growth is impossible. As a result of this link, volatility in oil prices has the ability to induce fluctuations in the output of both developed and developing economies. Moreover, factors such as business cycles and policy changes often introduce nonlinearity into the transmission mechanism of oil price shocks. This study therefore examines not only the interconnectedness of oil price volatility and output growth, but also the nonlinear, asymmetric impact of oil price volatility on output growth in the countries making up the Group of Seven. To this end, monthly data on West Texas Intermediate oil price and industrial production indices of the Group of Seven countries over the period 1990:01 to 2019:08 is used for empirical analysis. The study employs the DCC and cDCC-GARCH techniques for symmetric empirical analysis. The asymmetric empirical analysis is also conducted via GJR-GARCH, FIEGARCH, HYGARCH and cDCC-GARCH techniques. The findings reveal disparities in the magnitudes of the positive and negative (asymmetric) effects of oil price shocks on output growth. The results also reveal that past news and lagged volatility have a significant impact on the current conditional volatility of the output growth of the Group of Seven countries. The study concludes that the impact of oil price volatility on output growth in the selected economies is asymmetric, the volatility is highly persistent and clustered, and the asymmetric GARCH models outperform the symmetric GARCH models.

Keywords: Oil prices; Industrial production index; Symmetric GARCH; Asymmetric GARCH; G7 (search for similar items in EconPapers)
JEL-codes: C50 E39 F41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1007/s12076-023-00325-z

Access Statistics for this article

Letters in Spatial and Resource Sciences is currently edited by Henk Folmer and Amitrajeet A. Batabyal

More articles in Letters in Spatial and Resource Sciences from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2024-02-08
Handle: RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00325-z