Oil prices and economic activity in Greece
AbstractThe 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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Bibliographic InfoArticle provided by Springer in its journal Economic Change and Restructuring.
Volume (Year): 46 (2013)
Issue (Month): 4 (November)
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Web page: http://www.springerlink.com/link.asp?id=113294
Markov switching regime and threshold models; Oil price shocks; Production; C220; E320; Q430;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- 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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