Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model
AbstractIn this paper we build on recent work by Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) and investigate the relationship between oil price uncertainty and the level of economic activity, using quarterly Canadian data over the period from 1974:1 to 2010:1. In doing so, we use a bivariate VARMA, GARCH-in-Mean, asymmetric BEKK model, as detailed in Engle and Kroner (1995), Grier et al. (2004), and Shields et al. (2005). We show that the conditional variance–covariance process underlying output growth and the change in the real price of oil exhibits significant non-diagonality and asymmetry. We also present evidence that increased uncertainty about the change in the real price of oil is associated with a lower average growth rate of real economic activity in Canada, consistent with the results in Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) for the United States and Elder and Serletis (2009) for Canada. Our results are robust to alternative measures of the price of oil, alternative measures of the level of economic activity, and alternative data frequencies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 34 (2012)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/eneco
Crude oil; Volatility; Bivariate VARMA; GARCH-in-Mean model; Asymmetric BEKK model;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Magnani, Natalia & Vaona, Andrea, 2013.
"Regional spillover effects of renewable energy generation in Italy,"
Elsevier, vol. 56(C), pages 663-671.
- Natalia Magnani & Andrea Vaona, 2011. "Regional spillover effects of renewable energy generation in Italy," Working Papers 12/2011, University of Verona, Department of Economics.
- Bashar, Omar H.M.N. & Wadud, I.K.M. Mokhtarul & Ali Ahmed, Huson Joher, 2013. "Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective," Economic Modelling, Elsevier, vol. 35(C), pages 249-259.
- Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014.
"Do oil prices predict economic growth? New global evidence,"
Energy Economics, Elsevier,
Elsevier, vol. 41(C), pages 137-146.
- Paresh Kumar Narayan & Susan S Sharma, . "Do Oil Prices Predict Economic Growth? New Global Evidence," Financial Econometics Series 2014_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 63-75.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, Elsevier, vol. 31(3), pages 492-502, May.
- Olga Efimova & Apostolos Serletis, 2014. "Energy Markets Volatility Modelling using GARCH," Working Papers 2014-39, Department of Economics, University of Calgary, revised 24 Feb 2014.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.