EconPapers    
Economics at your fingertips  
 

International Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?*

Richard Ashley () and Kwok Ping Tsang ()

Working Papers from Virginia Polytechnic Institute and State University, Department of Economics

Abstract: The literature on the relationship between real output growth and the growth rate in the price of oil, including an allowance for asymmetry in the impact of oil prices on output, continues to evolve. Here we show that a new technique, which allows us to control for both this asymmetry and also for the persistence of oil price changes, yields results implying that such control is necessary for a statistically adequate specification of the relationship. The new technique also yields an estimated model for the relationship which is more economically interpretable. In particular, using quarterly data from 1976 - 2007 on each of six countries which are essentially net oil importers, we find that changes in the growth rate of oil prices which persist for more than four years have a large and statistically significant impact on future output growth, whereas less persistent changes (lasting more than one year but less than four years) have no significant impact on output growth. In contrast, 'temporary' fluctuations in the oil price growth rate - persisting for only a year or less – again have a large and statistically significant impact on output growth for most of these countries. The results for the single major net oil producer in our sample (Norway) are distinct in an interesting way.

Keywords: oil price; frequency dependence; business cycle; nonlinearities (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ure
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
ftp://repec.econ.vt.edu/Papers/Ashley/ashley_tsang_oil_price.pdf First version, 2013 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Failed to connect to FTP server repec.econ.vt.edu: A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.

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: https://EconPapers.repec.org/RePEc:vpi:wpaper:e07-42

Access Statistics for this paper

More papers in Working Papers from Virginia Polytechnic Institute and State University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Djavad Salehi-Isfahani ().

 
Page updated 2019-07-14
Handle: RePEc:vpi:wpaper:e07-42