Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

Lanouar Charfeddine, Tony Klein and Thomas Walther

No 2018/03, QBS Working Paper Series from Queen's University Belfast, Queen's Business School

Abstract: This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines the issue and provides evidence that oil price decreases affect the GDP growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different regimes permanently changing with the Great Moderation.

Keywords: Oil prices; GDP growth; Asymmetry; Nonlinearity; Markov switching models; Mixed Data Sampling (search for similar items in EconPapers)
JEL-codes: C24 E32 F43 Q43 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/271219/1/qms-rp2018-03.pdf (application/pdf)

Related works:
Working Paper: Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (2018)
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:zbw:qmsrps:201803

DOI: 10.2139/ssrn.3222572

Access Statistics for this paper

More papers in QBS Working Paper Series from Queen's University Belfast, Queen's Business School Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().