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

Rasheed O Alao, Abdulkareem Alhassan, Saheed Alao, Ifedolapo O Olanipekun, Godwin O Olasehinde-Williams, Ojonugwa Usman
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引用次数: 3

Abstract

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 fluctuations 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 findings reveal disparities in the magnitudes of the positive and negative (asymmetric) effects of oil price shocks on output growth. The results also reveal that past news and lagged volatility have a significant 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.

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油价不确定性对产出增长影响的对称和非对称GARCH估计:来自七国集团的证据。
原油是一种重要的能源。没有能源,产出增长是不可能的。由于这种联系,石油价格的波动有可能引起发达经济体和发展中经济体产出的波动。此外,经济周期和政策变化等因素往往在油价冲击的传导机制中引入非线性。因此,本研究不仅考察了油价波动与产出增长之间的相互联系,还考察了油价波动对七国集团成员国产出增长的非线性、不对称影响。为此,使用1990:01 - 2019:08期间七国集团西德克萨斯中质原油价格和工业生产指数月度数据进行实证分析。本研究采用DCC和cDCC-GARCH技术进行对称实证分析。采用GJR-GARCH、FIEGARCH、HYGARCH和cdc - garch技术进行非对称实证分析。研究结果揭示了油价冲击对产出增长的正面和负面(不对称)影响程度的差异。结果还表明,过去新闻和滞后波动对七国集团产出增长的当前条件波动有显著影响。研究得出结论,油价波动对所选经济体产出增长的影响是不对称的,波动是高度持续和聚集的,非对称GARCH模型优于对称GARCH模型。
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来源期刊
CiteScore
2.30
自引率
11.10%
发文量
30
期刊介绍: Letters in Spatial and Resource Sciences (LSRS) publishes high-quality, shorter papers on new theoretical or empirical results and on models and methods in the social sciences that contain a spatial dimension. Coverage includes environmental and resource economics, regional and urban economics, spatial econometrics, regional science, geography, demography, agricultural economics, GIS and city and regional planning. Examples of topics include, but are not limited to, environmental damage, urbanization, resource allocation, spatial-temporal data use, regional economic development and the application of existing and new methodologies.LSRS contributes to the communication of theories and methodologies across disciplinary borders. It offers quick dissemination and easy accessibility of new results. Officially cited as: Lett Spat Resour Sci
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