Asymmetry and break effects of oil price -macroeconomic fundamentals dynamics: The trade effect channel

The Journal of Economic Asymmetries - Tập 16 - Trang 12-25 - 2017
Ibrahim D. Raheem1
1School of Economics, University of Kent, Canterbury, UK

Tài liệu tham khảo

Allegret, 2015, Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies, Economic Modelling, 49, 232, 10.1016/j.econmod.2015.04.009 Arouri, M., Tiwari, A.K., and Teulon, F. (2014). Oil prices and trade balance: a frequency domain analysis for India, Ipag Business School Working Paper Series Number 116. Backus, 2000, Oil prices and the terms of trade, Journal of International Economics, 50, 185, 10.1016/S0022-1996(98)00064-6 Bai, 2003, Critical values for multiple structural change tests, Econometrics Journal, 6, 72, 10.1111/1368-423X.00102 Barsky, 2004, Oil and the macroeconomy since the 1970s, Journal of Economic Perspectives, 18, 115, 10.1257/0895330042632708 Beckmann, 2013, Oil prices and effective dollar exchange rates, International Review of Economics and Finance, 27, 621, 10.1016/j.iref.2012.12.002 Bodenstein, 2011, Oil shocks and external adjustment, Journal of International Economics, 83, 168, 10.1016/j.jinteco.2010.10.006 Bollino, 2007, Oil prices and the U.S. trade deficit, Journal of Policy Modeling, 29, 729, 10.1016/j.jpolmod.2007.06.009 Bruno, 1982, Energy and resource allocation: A dynamic model of the Dutch Disease, Review of Economic Studies, 49, 845, 10.2307/2297191 Edelstein, Paul and Kilian Lutz (2008). Retail Energy Prices and Consumer Expenditures. University of Michigan and CEPR working paper. Edelstein, 2007, The response of business fixed investment to changes in energy prices: A test of some hypotheses about the transmission of energy price shocks, The B E Journal of Macroeconomics, 7 Gavin, 1990, Structural adjustment to a terms of trade disturbance: The role of relative prices, Journal of International Economics, 28, 217, 10.1016/0022-1996(90)90002-4 Gavin, 1992, Income effects of adjustment to a terms of trade disturbance and the demand for adjustment finance, Journal of Development Economics, 37, 127, 10.1016/0304-3878(91)90085-A Golub, 1983, Oil prices and exchange rates, Economic Journal, 93, 576, 10.2307/2232396 Hamilton, 1983, Oil and the macroeconomy since World War II, Journal of Political Economic, 91, 228, 10.1086/261140 Hamilton, 2005, Oil and the macroeconomy Hassan, 2012, Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan, Economic Modelling, 29, 2125, 10.1016/j.econmod.2012.07.006 Hooker, 1996, What happened to the oil price–macroeconomy relationship?, Journal of Monetary Economics, 38, 195, 10.1016/S0304-3932(96)01281-0 Kilian, L. (2010). Oil price volatility: origins and effects, World Trade Organization Staff Working Paper ERSD-2010-02. Kilian, 2009, Oil shocks and external balances, Journal of International Economics, 77, 181, 10.1016/j.jinteco.2009.01.001 Kim, 1992, The role of energy in real business cycle models, Journal of Monetary Economics, 29, 173, 10.1016/0304-3932(92)90011-P Korhonen, 2010, Trade linkages and macroeconomic effects of the price of oil, Energy Economics, 32, 848, 10.1016/j.eneco.2009.11.005 Krugman, 1983, Oil and the dollar Le, 2013, Oil price shocks and trade imbalances, Energy Economics, 36, 78, 10.1016/j.eneco.2012.12.002 Lee, 1994, Oil shocks and the macroeconomy: The role of price variability, Energy, 16, 39 Maravalle, 2012, The role of the trade channel in the propagation of oil supply shocks, Energy Economics, 34, 2135, 10.1016/j.eneco.2012.03.002 Mork, 1989, Oil and the macroeconomy when prices go up and down: An extension of Hamilton’s results, Journal of Political Economy, 97, 740, 10.1086/261625 Mork, 1994, Macroeconomic responses to oil price increases and decreases in seven OECD countries, Energy Journal, 15, 19 Narayan, 2015, A unit root model for trending time-series energy variables, Energy Economics, 50, 391, 10.1016/j.eneco.2014.11.021 Nusair, 2016, The effects of oil price shock s on the economies of the Gulf Co-operation Council countries: Nonlinear analysis, Energy Policy, 91, 256, 10.1016/j.enpol.2016.01.013 Pesaran, 2001, Bound testing approaches to the analysis of level relationship, Journal of Applied Econometrics, 16, 289, 10.1002/jae.616 Rafiq, 2016, Asymmetric oil shocks and external balances of major oil exporting and importing countries, Energy Economics, 56, 42, 10.1016/j.eneco.2016.02.019 Rebucci, A. and Spatafora, N.(2006). Oil prices and global imbalances, in Globalization and Inflation, IMF World Economic Outlook April 2006, chapter II, International Monetary Fund, Washington DC, pp. 71–96. Riggo, 2015, The time varying effect of oil price shocks on euro-area exports, Journal of Economic Dynamics and Control, 10.1016/j.jedc.2015.07.002 Salisu, 2013, Modelling oil price volatility with structural breaks, Energy Policy, 52, 554, 10.1016/j.enpol.2012.10.003 Salisu, 2015, Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach, Energy Economics, 50, 1, 10.1016/j.eneco.2015.03.031 Shin, Y., Yu, B. and Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in an ARDL framework. In: W.C., Horrace. Toda, 1995, Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, 225, 10.1016/0304-4076(94)01616-8 Van Hoang, 2016, Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach, Economic Modelling, 54, 54, 10.1016/j.econmod.2015.12.013