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