Abstract
This article characterizes the nonlinear relation between oil price change and GDP growth, focusing on the panel data of various industrialized countries. Toward this end, the article extends a flexible nonlinear inference to the panel data analysis where the random error components are incorporated into the flexible approach. The article reports clear evidence of nonlinearity in the panel and confirms earlier claims in the literature-oil price increases are statistically and economically significant while oil price decreases are not and previous upheaval in oil prices causes the marginal effect of any given oil price change to be reduced. Our result suggests that the nonlinear oil-macroeconomy relation is generally observable over different industrialized countries and it is desirable for one to use the nonlinear function of oil price change for GDP forecast.
| Original language | English |
|---|---|
| Pages (from-to) | 121-143 |
| Number of pages | 23 |
| Journal | Empirical Economics |
| Volume | 43 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2012 Aug 1 |
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Keywords
- Economic fluctuation
- Error components model
- Nonlinear flexible inference
- Oil shock
- Panel data
ASJC Scopus subject areas
- Economics and Econometrics
- Social Sciences (miscellaneous)
- Mathematics (miscellaneous)
- Statistics and Probability
Cite this
What is an oil shock? Panel data evidence. / Kim, Dong Heon.
In: Empirical Economics, Vol. 43, No. 1, 01.08.2012, p. 121-143.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - What is an oil shock? Panel data evidence
AU - Kim, Dong Heon
PY - 2012/8/1
Y1 - 2012/8/1
N2 - This article characterizes the nonlinear relation between oil price change and GDP growth, focusing on the panel data of various industrialized countries. Toward this end, the article extends a flexible nonlinear inference to the panel data analysis where the random error components are incorporated into the flexible approach. The article reports clear evidence of nonlinearity in the panel and confirms earlier claims in the literature-oil price increases are statistically and economically significant while oil price decreases are not and previous upheaval in oil prices causes the marginal effect of any given oil price change to be reduced. Our result suggests that the nonlinear oil-macroeconomy relation is generally observable over different industrialized countries and it is desirable for one to use the nonlinear function of oil price change for GDP forecast.
AB - This article characterizes the nonlinear relation between oil price change and GDP growth, focusing on the panel data of various industrialized countries. Toward this end, the article extends a flexible nonlinear inference to the panel data analysis where the random error components are incorporated into the flexible approach. The article reports clear evidence of nonlinearity in the panel and confirms earlier claims in the literature-oil price increases are statistically and economically significant while oil price decreases are not and previous upheaval in oil prices causes the marginal effect of any given oil price change to be reduced. Our result suggests that the nonlinear oil-macroeconomy relation is generally observable over different industrialized countries and it is desirable for one to use the nonlinear function of oil price change for GDP forecast.
KW - Economic fluctuation
KW - Error components model
KW - Nonlinear flexible inference
KW - Oil shock
KW - Panel data
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U2 - 10.1007/s00181-011-0459-y
DO - 10.1007/s00181-011-0459-y
M3 - Article
AN - SCOPUS:84864376171
VL - 43
SP - 121
EP - 143
JO - Empirical Economics
JF - Empirical Economics
SN - 0377-7332
IS - 1
ER -