Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7
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Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer Science and Business Media Deutschland GmbH
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Crude oil is an essential source of energy. Without access to energy, output growth is impossible. As a result of this link, volatility in oil prices has the ability to induce fuctuations in the output of both developed and developing economies. Moreover, factors such as business cycles and policy changes often introduce nonlinearity into the transmission mechanism of oil price shocks. This study therefore examines not only the interconnectedness of oil price volatility and output growth, but also the nonlinear, asymmetric impact of oil price volatility on output growth in the countries making up the Group of Seven. To this end, monthly data on West Texas Intermediate oil price and industrial production indices of the Group of Seven countries over the period 1990:01 to 2019:08 is used for empirical analysis. The study employs the DCC and cDCC-GARCH techniques for symmetric empirical analysis. The asymmetric empirical analysis is also conducted via GJR-GARCH, FIEGARCH, HYGARCH and cDCC-GARCH techniques. The fndings reveal disparities in the magnitudes of the positive and negative (asymmetric) efects of oil price shocks on output growth. The results also reveal that past news and lagged volatility have a signifcant impact on the current conditional volatility of the output growth of the Group of Seven countries. The study concludes that the impact of oil price volatility on output growth in the selected economies is asymmetric, the volatility is highly persistent and clustered, and the asymmetric GARCH models outperform the symmetric GARCH models.
Açıklama
Anahtar Kelimeler
Oil prices · Industrial production index · Symmetric GARCH · Asymmetric GARCH · G7
Kaynak
Letters in Spatial and Resource Sciences
WoS Q Değeri
Q2
Scopus Q Değeri
N/A
Cilt
16
Sayı
1
