印度经济对油价冲击的反应是否不对称?

Q1 Economics, Econometrics and Finance Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI:10.1016/j.jeca.2023.e00299
Abdhut Deheri , M. Ramachandran
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引用次数: 1

摘要

本文研究了油价冲击是否对印度的某些关键宏观经济变量(即工业产出、通货膨胀、汇率和股票回报)产生不对称影响。对这一问题的实证评估包括使用Kilian和Vigfusson (2011a)倡导的最近开发的基于斜率和脉冲响应的对称性测试。基于Wald检验的证据表明,宏观经济变量对油价冲击的响应存在不对称性和非线性。从脉冲响应中获得的证据表明,在不同的预测范围内,大多数宏观经济变量对大小油价冲击的响应是不对称的。然而,电力生产、名义有效汇率、股票收益率和基于批发价格指数的通货膨胀指标对油价冲击的响应是对称的。这些发现对估计中使用的其他滞后结构具有鲁棒性。
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Does Indian economy asymmetrically respond to oil price shocks?

This article investigates whether oil price shocks have an asymmetric impact on certain key macroeconomic variables, viz., industrial output, inflation, exchange rates, and stock returns in India. The empirical evaluation of this issue involves using recently developed slope and impulse response-based symmetry tests advocated by Kilian and Vigfusson (2011a). The evidence based on Wald test indicate that there is asymmetry and nonlinearity in the response of macroeconomic variables to oil price shocks. The evidence obtained from impulse responses suggests that most of the macroeconomic variables asymmetrically respond to small and large oil price shocks over different forecast horizons. However, electricity production, nominal effective exchange rate, stock return and inflation measure based on wholesale price index respond symmetrically to oil price shocks using the slope test. These findings are found to be robust to alternative lag structures utilized in the estimation.

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来源期刊
Journal of Economic Asymmetries
Journal of Economic Asymmetries Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
4.80
自引率
0.00%
发文量
42
审稿时长
50 days
期刊最新文献
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