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Oil price shocks and GDP growth: Do energy shares amplify causal effects?

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  • Bergmann, Philip

Abstract

The paper estimates the effect of oil price fluctuations on GDP growth, using linear and nonlinear VAR models with data from 12 countries. By using an IVAR approach, it reports strong significance for the existence of non-linear moderator effects caused by a decline in the oil-to-energy share, which weakens the causal effect of oil prices on economic growth. A consideration of the relationship of oil prices and GDP over 44 years confirms the exclusion of symmetry of previous studies. Moreover, the paper indicates that the effect of negative oil price movements is causal for more countries than has been suggested so far.

Suggested Citation

  • Bergmann, Philip, 2019. "Oil price shocks and GDP growth: Do energy shares amplify causal effects?," Energy Economics, Elsevier, vol. 80(C), pages 1010-1040.
    • Handle: RePEc:eee:eneeco:v:80:y:2019:i:c:p:1010-1040
    DOI: 10.1016/j.eneco.2019.01.031
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    More about this item

    Keywords

    IVAR; Oil price fluctuation; Asymmetry; Nonlinearity; Moderator effects; Oil share;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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