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Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data

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  • van Eyden, Reneé
  • Difeto, Mamothoana
  • Gupta, Rangan
  • Wohar, Mark E.

Abstract

This paper uses a number of different panel data estimators, including fixed effects, bias-corrected least squares dummy variables (LSDVC), generalised methods of moments (GMM), feasible generalised least squares (FGLS), and random coefficients (RC) to analyse the impact of real oil price volatility on the growth in real GDP for 17 member countries of the Organisation for Economic Co-operation and Development (OECD), over a 144-year time period from 1870 to 2013. The main finding of the study is that oil price volatility has a negative and statistically significant impact on economic growth of the OECD countries in the sample. In addition, when allowing for slope heterogeneity, oil-producing countries are significantly negatively impacted by oil price uncertainty, most notably Norway and Canada.

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  • van Eyden, Reneé & Difeto, Mamothoana & Gupta, Rangan & Wohar, Mark E., 2019. "Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data," Applied Energy, Elsevier, vol. 233, pages 612-621.
  • Handle: RePEc:eee:appene:v:233-234:y:2019:i::p:612-621
    DOI: 10.1016/j.apenergy.2018.10.049
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    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
    2. Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
    3. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2019. "Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility," Working Papers 201916, University of Pretoria, Department of Economics.
    4. repec:eee:appene:v:237:y:2019:i:c:p:390-403 is not listed on IDEAS

    More about this item

    Keywords

    Oil price volatility; Economic growth; OECD countries; Panel data;

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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