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Oil prices and economic activity in Greece

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  • Evangelia Papapetrou

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    Abstract

    The paper studies the relationship between oil prices and economic activity in Greece during the period 1982:1–2008:8. Different empirical methods are used to estimate whether oil price changes affect asymmetrically the economic activity. A regime-switching model (RS-R) and a threshold regression modeling (TA-R) are applied which have the advantage to capture the dependence structure of the series both in terms of constant and variance. The empirical evidence suggests that the degree of negative correlation between oil prices and economic activity strengths during periods of rapid oil price changes and high oil price change volatility. Copyright Springer Science+Business Media New York 2013

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    File URL: http://hdl.handle.net/10.1007/s10644-013-9140-0
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    Bibliographic Info

    Article provided by Springer in its journal Economic Change and Restructuring.

    Volume (Year): 46 (2013)
    Issue (Month): 4 (November)
    Pages: 385-397

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    Handle: RePEc:kap:ecopln:v:46:y:2013:i:4:p:385-397

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    Web page: http://www.springerlink.com/link.asp?id=113294

    Related research

    Keywords: Markov switching regime and threshold models; Oil price shocks; Production; C220; E320; Q430;

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