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Do Oil Prices Predict Economic Growth? New Global Evidence

Listed author(s):
  • Paresh Kumar Narayan

    ()

    (Deakin University)

  • Susan S Sharma

    ()

    (Deakin University)

In this paper, we test whether oil price predicts economic growth for 28 developed and 17 developing countries. We use predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our analysis considers a large number of countries, shows evidence of more out-of-sample predictability with nominal than real oil prices, finds in-sample predictability to be independent of the use of nominal and real prices, and reveals greater evidence of predictability for developed countries.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2014_09.pdf
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Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2014_09.

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Length: 33
Date of creation:
Handle: RePEc:dkn:ecomet:fe_2014_09
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