What is an oil shock? Panel data evidence

• 영문명: What is an oil shock? Panel data evidence
• 발행기관: 한국계량경제학회
• 저자명: Dong Heon Kim
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2008년 하계학술대회, 1~25쪽, 전체 25쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2008.08.30

영문 초록

This paper characterizes the nonlinear relation between oil price change and GDP growth, focusing on the panel data of various industrialized countries. Toward this end, the paper extends a flexible nonlinear inference to the panel data analysis where the random error components are incorporated into the flexible approach. The paper reports clear evidence of nonlinearity in the panel and confirms earlier claims in the literature–oil price increases are much more important than decreases. Our result suggests that the nonlinear oil-macroeconomy relation is generally observable over different industrialized countries and it is desirable for one to use the nonlinear function of oil price change for GDP forecast.

목차

1 Introduction

2 A parametric approach to nonlinear flexible inference in the panel

3 Empirical results

4 Concluding remarks

키워드

Oil shocks Nonlinear models Panel data Error components model Economic fluctuations