The Differential Effects of Oil Demand and Supply Shocks on the Global Economy
Paul Cashin (),
Kamiar Mohaddes (),
Maziar Raissi and
Authors registered in the RePEc Author Service: Mehdi Raissi
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2.2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output.
Keywords: Global VAR (GVAR); interconnectedness; global macroeconomic modeling; impulse responses; international business cycle; oil-demand and oil-supply shocks. (search for similar items in EconPapers)
JEL-codes: C32 E17 F44 F47 Q41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cwa and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed
Downloads: (external link)
Journal Article: The differential effects of oil demand and supply shocks on the global economy (2014)
Working Paper: The Differential Effects of Oil Demand and Supply Shocks on the Global Economy (2013)
Working Paper: The Differential Effects of Oil Demand and Supply Shocks on the Global Economy (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1249
Access Statistics for this paper
More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer (). This e-mail address is bad, please contact .