Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7

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dc.contributor.authorAlao, Rasheed O.
dc.contributor.authorAlhassan, Abdulkareem
dc.contributor.authorAlao, Saheed
dc.contributor.authorOlanipekun, Ifedolapo O.
dc.contributor.authorOlasehinde-Williams, Godwin O.
dc.contributor.authorUsman, Ojonugwa
dc.date.accessioned2023-05-05T11:44:39Z
dc.date.available2023-05-05T11:44:39Z
dc.date.issued2023en_US
dc.departmentRektörlük, İslam Ekonomisi ve Ekonomik Sistemler Uygulama ve Araştırma Merkezien_US
dc.description.abstractCrude 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.en_US
dc.identifier.doi10.1007/s12076-023-00325-zen_US
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85149024886en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/6597
dc.identifier.urihttps://doi.org/10.1007/s12076-023-00325-z
dc.identifier.volume16en_US
dc.identifier.wosWOS:000939602100002en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.language.isoenen_US
dc.publisherSpringer Science and Business Media Deutschland GmbHen_US
dc.relation.ispartofLetters in Spatial and Resource Sciencesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOil prices · Industrial production index · Symmetric GARCH · Asymmetric GARCH · G7en_US
dc.titleSymmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7en_US
dc.typeArticleen_US

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