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Oil price volatility: impacts in the Brazilian economy

Author

Listed:
  • Adilson de Oliveira

    (Economics Institute - Federal University of Rio de Janeiro)

  • Susan Schommer

    (Economics Institute - Federal University of Rio de Janeiro)

  • Ledson L. G. da Rosa

    (Economics Institute - Federal University of Rio de Janeiro)

Abstract

In this article, we analyze the impact of oil price volatility on Brazil's macroeconomic variables. The estimation is made using an autoregressive vector model (VAR) for the period from January 2001 to June 2021. The monthly oil price volatility is calculated utilizing the realized volatility of daily oil prices. The study's main finding is that oil price volatility has a negative and statistically significant impact on Brazilian economic growth and investment. Our results suggest that these impacts take four and twelve months, respectively, to dissipate.

Suggested Citation

  • Adilson de Oliveira & Susan Schommer & Ledson L. G. da Rosa, 2023. "Oil price volatility: impacts in the Brazilian economy," Economics Bulletin, AccessEcon, vol. 43(1), pages 429-440.
    • Handle: RePEc:ebl:ecbull:eb-21-00950
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Oil price volatility; Economic growth; Brazil; VAR Model;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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