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What is new? The role of asymmetry and breaks in oil price–output growth volatility nexus

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  • Raheem, Ibrahim
  • Olabisi, Nafisat

Abstract

This study examines the role of asymmetry and breaks in oil price–output growth volatility nexus. A representative of 10 countries was selected from net oil-exporting and-importing economies for the period 1986–2017. It is hypothesised that countries respond differently to changes in oil price. To prove this point, we use the recent nonlinear ARDL of Shin et al. (2014), based on the framework of the dynamic common correlated effect of the heterogeneous panel of Chudik and Pesaran (2015), to decompose oil price into positive and negative partial sums. Our results show that without accounting for breaks, asymmetry only matters for net oil exporters in both short- and long run. However, accounting for breaks expanded the importance of asymmetry to net oil importers (in the short run). These results are robust to changes in the measures of oil price and growth volatility.

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  • Raheem, Ibrahim & Olabisi, Nafisat, 2019. "What is new? The role of asymmetry and breaks in oil price–output growth volatility nexus," MPRA Paper 105361, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:105361
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    More about this item

    Keywords

    Oil; Asymmetry; Breaks;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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