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Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies

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

Staff Working Papers from Bank of Canada

Abstract: This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of 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 type. In addition, a country’s oil-importing and -exporting status in the world oil market affects the transmission of shocks. Finally, subsample analysis shows a possible structural break in Japan and South Korea for all three types of oil shocks.

Keywords: Econometric and statistical methods; International topics (search for similar items in EconPapers)
JEL-codes: E32 O53 Q43 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015
New Economics Papers: this item is included in nep-mac and nep-sea
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Citations: View citations in EconPapers (17) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:15-23

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