Oil Price Shocks: Testing for Non-linearity

Rebeca Jiménez-Rodríguez

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: This paper presents evidence of a non-linear relationship between GDP growth and oil price changes in the US economy. We also argue that this non-linearity is not merely due to the use of data from the mid-1980s onwards, as most authors, so far, seem to believe. In fact, we find the existence of non-linearity with the use of data earlier than 1984, and even before 1977. Furthermore, we question that the non-linear transformations of oil prices proposed in the literature are the most appropriate indicators for reflecting such non-linearity

Keywords: Macroeconomic fluctuations; Oil price shock; Non-linearity (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Date: 2004-03-01
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Citations: View citations in EconPapers (1)

Published in The Energy Journal, 2009, vol. 30, issue 1, pages 1-24

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