IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v70y2020i6p566-588.html
   My bibliography  Save this article

The Effect of Oil Price Uncertainty on Industrial Production in the Major European Economies - Methodologies Based on the Bayesian Approach

Author

Listed:
  • Dejan Zivkov

    (Novi Sad business school, University of Novi Sad, Serbia)

  • Jelena Damnjanovic

    (Novi Sad business school, University of Novi Sad, Serbia)

  • Jasmina Duraskovic

    (Project management college, EDUCONS university, Serbia)

Abstract

This paper investigates how oil price uncertainty affects industrial production (IP) in six developed European countries – Germany, UK, France, Italy, Spain and Norway. In the research process, we use several methodologies based on the Bayesian technique – MS-GARCH model and quantile regression. Estimated quantile parameters show that the magnitude of volatility transmission from oil to IP is not high in higher quantiles, but for the majority of the net oil consuming countries the negative effect is around 20% when IP is very low, which is relatively high. However, this result should be taken with a caution, because all quantile parameters are statistically significant at 70%. The results indicate that the U.K. suffers the weakest, while Spain the strongest impact from the oil price uncertainty. The reason for this finding probably lies in daily oil consumption vis-a-vis GDP, since UK has the lowest, whereas Spain has the highest oil consumption ratio. Also, it should be said that four fifth of the U.K. GDP is composed of services, which also speaks in favour why British IP suffers relatively weak impact. Besides Spain, Germany and Italy also have relatively high 0.05th quantile parameters. This indicates that these countries also endure relatively significant impact from oil price uncertainty when their economies are in recession.

Suggested Citation

  • Dejan Zivkov & Jelena Damnjanovic & Jasmina Duraskovic, 2020. "The Effect of Oil Price Uncertainty on Industrial Production in the Major European Economies - Methodologies Based on the Bayesian Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(6), pages 566-588, December.
  • Handle: RePEc:fau:fauart:v:70:y:2020:i:6:p:566-588
    as

    Download full text from publisher

    File URL: https://journal.fsv.cuni.cz/mag/article/show/id/1477
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    oil uncertainty; industrial production; Bayesian methodologies; developed European countries;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:70:y:2020:i:6:p:566-588. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.